REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS

DOI10.1017/S0266466604203036zbMath1061.62137OpenAlexW1981049434MaRDI QIDQ4653558

Richard T. Baillie, Donatas Surgailis, Hira L. Koul

Publication date: 7 March 2005

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

Full work available at URL: https://doi.org/10.1017/s0266466604203036

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Bootstrap long memory processes in the frequency domain, Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach, Comparing two nonparametric regression curves in the presence of long memory in covariates and errors, Asymptotic properties of $M$-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular, Nonparametric estimation of conditional medians for linear and related processes, Asymptotic behaviour of the LS estimator in a nonlinear model with long memory, Asymptotic properties of the \(M\)-estimates of parameters in a nonlinear regression model with discrete time and singular spectrum, Asymptotic inference in some heteroscedastic regression models with long memory design and errors, Minimum distance lack-of-fit tests under long memory errors, Lack-of-fit Tests Based On Partial Sums of Residuals, Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design, Lack of fit test for long memory regression models

Cites Work

• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Noncentral limit theorems and Appell polynomials
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Asymptotic normality of regression estimators with long memory errors
• Central limit theorem for the empirical process of a linear sequence with long memory
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Nonparametric model checks for regression
• Asymptotic expansion of \(M\)-estimators with long-memory errors
• Limit theorems for functionals of moving averages
• Model checks for regression: an innovation process approach
• Nonparametric model checks for time series
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Asymptotics of empirical processes of long memory moving averages with infinite variance.
• Long memory processes and fractional integration in econometrics
• Goodness-of-fit tests for nonlinear heteroscedastic regression models
• Bootstrap Approximations in Model Checks for Regression
• Non-central limit theorems for non-linear functional of Gaussian fields
• Long-Term Memory in Stock Market Prices
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors