Asymptotic theory for certain regression models with long memory errors

DOI10.1111/1467-9892.00057zbMath0881.62092OpenAlexW2062140358MaRDI QIDQ4351578

Rohit S. Deo

Publication date: 28 August 1997

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00057

zbMATH Keywords

regression modelslong memory series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (8)

Estimation of mis-specified long memory models ⋮ Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes ⋮ Nonparametric regression with long-memory errors ⋮ Asymptotic theory for regression models with fractional local to unity root errors ⋮ Semiparametric analysis of long-range dependence in nonlinear regression ⋮ On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data ⋮ Weak convergence of functionals of stationary long memory processes to Rosenblatt-type distributions ⋮ Polynomial Trend Regression With Long‐memory Errors

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