Confidence intervals for long memory regressions

DOI10.1016/J.SPL.2008.01.057MaRDI QIDQ947197zbMATH OpenOpenAlexFDO

Authors Kyungduk Ko, Jaechoul Lee, Robert Lund

Publication date 29 September 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://scholarworks.boisestate.edu/math_facpubs/10

zbMATH Keywords

tables

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25)

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• Asymptotic theory for certain regression models with long memory errors

Cites work

• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Equivalent sample sizes in time series regressions
• Finite sample efficiency of OLS in linear regression models with long-memory disturbances
• Fractional differencing
• On estimation of a regression model with long-memory stationary errors
• Revisiting simple linear regression with autocorrelated errors
• Robustness of whittle-type estimators for time series with long-range dependence
• Time series regression with long-range dependence

Cited in

(7)

• Using the bootstrap for finite sample confidence intervals of the log periodogram regression
• Confidence regions for polynomial regression models
• Inducing normality from non-Gaussian long memory time series and its application to stock return data
• Parametric bootstrap confidence intervals for linear regression processes with long-memory errors
• Equivalent sample sizes in time series regressions
• Improved interval estimation of long run response from a dynamic linear model: a highest density region approach
• Confidence intervals for the long memory parameter based on wavelets and resampling

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Uses Software

• longmemo

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