Long-Memory Errors in Time Series Regressions with a Unit Root

DOI10.1111/1467-9892.00158MaRDI QIDQ4939818zbMATH OpenOpenAlexFDO

Authors Diego Lubian

Publication date 1 March 2000

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00158

zbMATH Keywords

fractional Brownian motionlong-memory processesnonstationaritytime seriesunit root test

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Spurious regressions between I(1) processes with long memory errors
• Asymptotic properties of the LSE in a regression model with long-memory Gaussian and non-Gaussian stationary errors
• Spurious regressions in time series with long memory
• Time series regression with long-range dependence
• Asymptotic inference in time series regressions with a unit root and infinite variance errors

Cited in

(2)

• The effect of additive outliers on a fractional unit root test
• Uniform Test for Predictive Regression With AR Errors

This page was built for publication: Long-Memory Errors in Time Series Regressions with a Unit Root

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4939818)