Time series regression with long-range dependence
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Cites work
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 3572640 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3346000 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- scientific article; zbMATH DE number 3357742 (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
- Asymptotic Properties of Non-Linear Least Squares Estimators
- Asymptotic properties of the LSE in a regression model with long-memory stationary errors
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
- Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
- Contrasts under long-range correlations
- ESTIMATION IN LONG-MEMORY TIME SERIES MODEL
- Efficient Tests of Nonstationary Hypotheses
- Efficient location and regression estimation for long range dependent regression models
- Efficient parameter estimation for self-similar processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- M-estimators in linear models with long range dependent errors
- Non-linear regression for multiple time-series
- Non-linear time series regression
- Nonlinear Regression with Autocorrelated Errors
- ON GENERALIZED FRACTIONAL PROCESSES
- ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
- On estimation of a regression model with long-memory stationary errors
- On large-sample estimation for the mean of a stationary random sequence
- Tests for Hurst effect
- The Consistency of Nonlinear Regressions
- The central limit theorem for time series regression
- The estimation of a lagged regression relation
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(58)- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Robust Estimation of Large Panels with Factor Structures
- Robust inference theory for non-regular time series models and its extensions
- Asymptotic distribution of the bias corrected least squares estimators in measurement error linear regression models under long memory
- Kink estimation in stochastic regression with dependent errors and predictors
- The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
- On local slope estimation in partial linear models under Gaussian subordination
- Semiparametric sieve-type generalized least squares inference
- Polynomial Trend Regression With Long‐memory Errors
- On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields
- Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes
- Consistent inference for predictive regressions in persistent economic systems
- Fully modified narrow-band least squares estimation of weak fractional cointegration
- Wavelet regression in random design with heteroscedastic dependent errors
- On estimating the marginal distribution of a detrended series with long memory
- Consistent order selection with strongly dependent data and its application to efficient estimation.
- Statistical estimation for CAPM with long-memory dependence
- Confidence intervals for long memory regressions
- Residual empirical processes for long and short memory time series
- On Koul's minimum distance estimators in the regression models with long memory moving averages.
- Bootstrap long memory processes in the frequency domain
- Uniform moment bounds of Fisher's information with applications to time series
- Nonparametric methods of inference for finite-state, inhomogeneous Markov processes
- Non-parametric estimation under strong dependence
- Semiparametric analysis of long-range dependence in nonlinear regression
- Statistical inference on regression with spatial dependence
- Moment bounds and mean squared prediction errors of long-memory time series
- Inference without smoothing for large panels with cross-sectional and temporal dependence
- The smoothing dichotomy in nonparametric regression under long‐memory errors
- Asymptotic properties of LSE of regression coefficients on singular random fields observed on a sphere
- Log-periodogram regression of time series with long range dependence
- Testing for structural change in a long-memory environment
- Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design
- Malliavin calculus and martingale expansion
- Long-Memory Errors in Time Series Regressions with a Unit Root
- Testing for structural change in regression with long memory processes
- Robust estimation in parametric time series models under long- and short-range-dependent structures
- Partial mixing and Edgeworth expansion
- An alternative bootstrap to moving blocks for time series regression models
- Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
- Wavelet change-point estimation for long memory non-parametric random design models
- Estimation of spatial autoregressions with stochastic weight matrices
- Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
- Efficient location and regression estimation for long range dependent regression models
- On the minimax optimality of block thresholded wavelet estimators with long memory data
- Inference on power law spatial trends
- Analysis of the correlation structure of square time series
- Long-range dependent time series specification
- Semiparametric regression under long-range dependent errors.
- Finite sample efficiency of OLS in linear regression models with long-memory disturbances
- Estimation of fractionally integrated panels with fixed effects and cross-section dependence
- Inference and testing breaks in large dynamic panels with strong cross sectional dependence
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- A bootstrap causality test for covariance stationary processes
- A parametric bootstrap test for cycles
- Data analysis using regression models with missing observations and long-memory: an application study
- Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
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