Amazingly versatile Durbin regressions with persistent and nonlinear errors: HAC comparisons

DOI10.1016/J.ECONLET.2025.112696MaRDI QIDQ6882944zbMATH OpenFDO

Authors Richard T. Baillie, George Kapetanios, Kun Ho Kim

Publication date 16 December 2025

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Durbin regressionslong memory and nonlinear error processesOLS-HAC inference

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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