ASYMPTOTIC THEORY OF STATISTICAL INFERENCE FOR TIME SERIES
综述了现代时间序列计量经济学中各类模型的渐近理论，包括VAR、ARMA、协整、单位根、非线性、非高斯及长记忆模型，指出新模型渐近理论发展滞后于应用的问题。
Modern time series econometrics involves a diversity of models. In addition to the more traditional vector autoregressive (VAR) and autoregressive moving average (ARMA) systems, cointegration and unit root models are in widespread use for macroeconomic data, nonlinear and non-Gaussian models are popular for financial data, and long memory models are becoming more common in both macroeconomic and financial applications. Much econometric thought relates to issues of estimation and hypothesis testing, and so, in the absence of a usable finite sample theory (as is the case for the models just mentioned), an enormous amount of effort has been given to developing adequate asymptotics for statistical inference. There is often a lag between the introduction of a new model and the development of an asymptotic theory. In consequence, applied econometricians sometimes have to estimate time series models for which no asymptotic theory is available. For instance, multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models have been in use in empirical research for a while, and practitioners have been using asymptotic normality of estimators in this model even though a theoretical justification is not available.