ASYMPTOTIC THEORY FOR THE DURBIN–WATSON STATISTIC UNDER LONG-MEMORY DEPENDENCE

DOI10.1017/S0266466699156044zbMath0961.62076OpenAlexW2158043035MaRDI QIDQ4512675

Shisei Nakamura, Masanobu Taniguchi

Publication date: 5 June 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466699156044

zbMATH Keywords

time series regressionshort memoryDurbin-Watson

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

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