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

DOI10.1007/S10492-008-0007-ZzbMATH Open1198.62099OpenAlexW2088995703MaRDI QIDQ834020FDOQ834020

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

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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)

Cites Work

• Title not available (Why is that?)
• Nonparametric smoothing and lack-of-fit tests
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Long memory processes and fractional integration in econometrics
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Long-Term Memory in Stock Market Prices
• The asymptotic theory of linear time-series models
• Nonparametric regression with heteroscedastic long memory errors
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
• Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory

Cited In (5)

• The S-estimator in the change-point random model with long memory
• Preliminary Test Estimation for Regression Models with Long-Memory Disturbance
• 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
• Minimum distance lack-of-fit tests under long memory errors

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