A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields

Published 7 Oct 2019 in math.PR and econ.EM | (1910.02577v1)

Abstract: We obtain an elementary invariance principle for multi-dimensional Brownian sheet where the underlying random fields are not necessarily independent or stationary. Possible applications include unit-root tests for spatial as well as panel data models.

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Authors (1)

Michael C. Tseng

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