Stochastic Regression Model with Dependent Disturbances

DOI10.1111/1467-9892.00218zbMath0972.62074OpenAlexW2075659763MaRDI QIDQ2740103

Masanobu Taniguchi, Kokyo Choy

Publication date: 16 September 2001

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00218

zbMATH Keywords

spectral densityleast squares estimatorsstochastic regression modelsbest linear unbiased estimatorsstationary linear processesratio estimatorslong- memory processesshort-memory processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (4)

Asymptotic behaviour of the LS estimator in a nonlinear model with long memory ⋮ Semiparametric analysis of long-range dependence in nonlinear regression ⋮ Statistical estimation for CAPM with long-memory dependence ⋮ Semiparametric Sieve-Type Generalized Least Squares Inference

This page was built for publication: Stochastic Regression Model with Dependent Disturbances