Abstract
Central limit theorems guarantee that the distributions of properly normalized sums of certain random variables are approximately normal. In many cases, however, a more detailed analysis is necessary. When testing for structural constancy in models, we might be interested in the temporal evolution of our sums. So for random variables X i we are interested in analysing the behaviour of as a function of t for t≤N. It is convenient to normalize the time, too, and consider for 0≤z≤1.
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Ploberger, W. (2010). Functional central limit theorems . In: Durlauf, S.N., Blume, L.E. (eds) Macroeconometrics and Time Series Analysis. The New Palgrave Economics Collection. Palgrave Macmillan, London. https://doi.org/10.1057/9780230280830_12
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DOI: https://doi.org/10.1057/9780230280830_12
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