Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory

DOI10.1111/1468-0262.00341zbMath1141.62340OpenAlexW3121661880MaRDI QIDQ5474999

Javier Hidalgo, Peter M. Robinson

Publication date: 16 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/2078/1/Adapting_to_Unknown_Disturbance_Autocorrelation_in_Regression_with_Long_Memory.pdf

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

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