Testing a sub-hypothesis in linear regression models with long memory covariates and errors.

DOI10.1007/S10492-008-0007-ZMaRDI QIDQ834020zbMATH OpenOpenAlexFDO

Authors Hira L. Koul, Donatas Surgailis

Publication date 17 August 2009

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/37781, http://hdl.handle.net/10338.dmlcz/140318

zbMATH Keywords

linear regressionmoving averagesWhittle quadratic forms

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
• Asymptotic inference in some heteroscedastic regression models with long memory design and errors
• REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
• Lack of fit test for long memory regression models

Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Long memory processes and fractional integration in econometrics
• Long-Term Memory in Stock Market Prices
• Nonparametric regression with heteroscedastic long memory errors
• Nonparametric smoothing and lack-of-fit tests
• The asymptotic theory of linear time-series models

Cited in

(5)

• Preliminary Test Estimation for Regression Models with Long-Memory Disturbance
• Minimum distance lack-of-fit tests under long memory errors
• Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design
• Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
• The S-estimator in the change-point random model with long memory

This page was built for publication: Testing a sub-hypothesis in linear regression models with long memory covariates and errors.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q834020)