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)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112696

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)

Cites work

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• Prediction of multivariate time series by autoregressive model fitting
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Semiparametric sieve-type generalized least squares inference
• The Distribution of Realized Exchange Rate Volatility

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