Let xt be a linear process of the form (A.43)(A.44). If we define (h) = n1Xn t=1 (xt+h x)(xt x), show that n1/2

Let xt be a linear process of the form (A.43)–(A.44). If we define

γ˜(h) = n−1Xn t=1

(xt+h − µx)(xt − µx), show that n1/2

γ˜(h) − γb(h)

= op(1).

Hint: The Markov Inequality P{|x| ≥ } <

E|x|



can be helpful for the cross-product terms.