Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design

DOI10.1016/J.JSPI.2008.12.011zbMath1162.62062OpenAlexW2072416946MaRDI QIDQ1022005

Donatas Surgailis, Hira L. Koul

Publication date: 9 June 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.12.011

zbMATH Keywords

moving averagesWhittle quadratic forms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• longmemo

Cites Work

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• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• Testing a sub-hypothesis in linear regression models with long memory covariates and errors.
• Nonparametric regression with heteroscedastic long memory errors
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Time series regression with long-range dependence
• Nonparametric smoothing and lack-of-fit tests
• Long memory processes and fractional integration in econometrics
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
• The asymptotic theory of linear time-series models
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors

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