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A central limit theorem for systems of regressions*

Published online by Cambridge University Press:  24 October 2008

E. J. Hannan
E. J. Hannan
Affiliation:
The University of North Carolina and School of General StudiesThe Australian National University
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Abstract

A central limit theorem is proved for the estimates of the regression coefficients in a multiple system of regressions when the vector process generating the residuals is a linear process with coefficient matrices the sum of whose norms converges. The regressor variables are assumed to satisfy conditions, due to Grenander, which make their generalized harmonic analysis possible.

Type
Research Article
Information
Mathematical Proceedings of the Cambridge Philosophical Society , Volume 57 , Issue 3 , July 1961 , pp. 583 - 588
Copyright
Copyright © Cambridge Philosophical Society 1961

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References

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