Long-Memory Errors in Time Series Regressions with a Unit Root

DOI10.1111/1467-9892.00158zbMath0932.62104OpenAlexW2056916926MaRDI QIDQ4939818

Diego Lubian

Publication date: 1 March 2000

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00158

zbMATH Keywords

time seriesfractional Brownian motionnonstationarityunit root testlong-memory processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)

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