A look at the quality of the approximation of the functional central limittheorem

This note investigates the adequacy of the finite sample approximation prov ided the Functional Central Limit Theorem when the errors are allowed to be dependent. We compare the distribution of the scaled partial sums of some data with the distribution of the Wiener process to which it converges. Our setup is, on purpose, very simple in that it considers data generated from an ARMA(1,1) process. Yet, this is sufficient to bring out interesting con clusions about the particular elements which cause the approximations to be inadequate in even quite large sample sizes. (C) 2000 Elsevier Science S.A . All rights reserved. JEL classification: C1.