Sunday, November 20, 2016

sequences and series - Convergence/divergence of the limit of a sum

In order to prove asymptotic normality of the time series OLS estimator (this context is not important), I have done the following:


Assumptions:



var(yt)=γ0t


cov(yt,ytj)=γjRkj


limjcov(yt,ytj)=γj=0


|γj|<


Then:


L=limTvar(T(T1tytμ))=limTvar(T1/2tyt)=limTT1var(tyt)=limTT1tscov(yt,ys)=limTT1[Tγ0+2(T1)γ1+2(T2)γ2+...+2γT1]=limTT1[Tγ0+21jT1(Tj)γj]=limTγ0+21jT1(1jT)γj I'm assuming the last step equals: γ0+2j=1γj


since concluding from here is rather easy. The problem being that I do not think it's the case, since j also converges to infinity.


Am I wrong? If so, why?

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