Asymptotic inference in some heteroscedastic regression models with long memory design and errors

DOI10.1214/009053607000000686MaRDI QIDQ2477069zbMATH OpenOpenAlexFDO

Authors Hongwen Guo, Hira L. Koul

Publication date 12 March 2008

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.2121, https://projecteuclid.org/euclid.aos/1201877310

zbMATH Keywords

local whittle estimatormodel diagnosticsmoving average errorsOLS

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: This paper discusses asymptotic distributions of various estimators of the underlying parameters in some regression models with long memory (LM) Gaussian design and nonparametric heteroscedastic LM moving average errors. In the simple linear regression model, the first-order asymptotic distribution of the least square estimator of the slope parameter is observed to be degenerate. However, in the second order, this estimator is $n^{1/2}$-consistent and asymptotically normal for $h+H<3/2$; nonnormal otherwise, where $h$ and $H$ are LM parameters of design and error processes, respectively. The finite-dimensional asymptotic distributions of a class of kernel type estimators of the conditional variance function $sigm{a}^2(x)$ in a more general heteroscedastic regression model are found to be normal whenever $H<(1+h)/2$, and non-normal otherwise. In addition, in this general model, $log(n)$-consistency of the local Whittle estimator of $H$ based on pseudo residuals and consistency of a cross validation type estimator of $sigm{a}^2(x)$ are established. All of these findings are then used to propose a lack-of-fit test of a parametric regression model, with an application to some currency exchange rate data which exhibit LM.

Recommendations

• Nonparametric regression with heteroscedastic long memory errors
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Cited in

(18)

• Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design
• Wavelet regression in random design with heteroscedastic dependent errors
• Asymptotic normality of regression estimators with long memory errors
• Wavelet deconvolution in a periodic setting with long-range dependent errors
• Kink estimation in stochastic regression with dependent errors and predictors
• Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
• Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
• Minimum distance lack-of-fit tests under long memory errors
• Long-range dependent time series specification
• Conditional variance estimation in regression models with long memory
• Accounting for uncertainty in heteroscedasticity in nonlinear regression
• Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
• Asymptotic distribution of the bias corrected least squares estimators in measurement error linear regression models under long memory
• Smooth estimation of error distribution in nonparametric regression under long memory
• Adaptive Inference in Heteroscedastic Fractional Time Series Models
• Some results on random design regression with long memory errors and predictors
• Lack of fit test for long memory regression models
• Testing a sub-hypothesis in linear regression models with long memory covariates and errors.

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