Second-order behavior of M-estimators in linear regression with long-memory errors (Q5928943): Difference between revisions

Suitably standardized differences between \(M\)-estimators and least-squares estimators are shown to have a limiting distribution which depends on the dependence parameter of long memory errors.

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reviewed by

Nikolai N. Leonenko

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MaRDI profile type

MaRDI publication profile

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cites work

Noncentral limit theorems and Appell polynomials

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Long memory processes and fractional integration in econometrics

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M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations

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Varieties of long memory models

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Asymptotic normality of regression estimators with long memory errors

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Q3742423

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Limit theorem for polynomials of a linear process with long-range dependence

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Q3911791

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Fractional differencing

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M-estimators in linear models with long range dependent errors

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Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors

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Asymptotic expansion of \(M\)-estimators with long-memory errors

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Multiple Wiener-Ito integrals. With applications to limit theorems

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Identifiers

zbMATH Open document ID

0967.62040

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DOI

10.1016/S0378-3758(00)00190-7

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5928943

@@ Property / cites work @@
+Noncentral limit theorems and Appell polynomials
@@ Property / cites work: Noncentral limit theorems and Appell polynomials / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory processes and fractional integration in econometrics
+Normal rank
@@ Property / cites work @@
+M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
+Normal rank
@@ Property / cites work @@
+Varieties of long memory models
@@ Property / cites work: Varieties of long memory models / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of regression estimators with long memory errors
+Normal rank
@@ Property / cites work @@
+Q3742423
@@ Property / cites work: Q3742423 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorem for polynomials of a linear process with long-range dependence
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+M-estimators in linear models with long range dependent errors
+Normal rank
@@ Property / cites work @@
+Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion of \(M\)-estimators with long-memory errors
+Normal rank
@@ Property / cites work @@
+Multiple Wiener-Ito integrals. With applications to limit theorems
+Normal rank