Testing a sub-hypothesis in linear regression models with long memory covariates and errors.

DOI10.1007/s10492-008-0007-zzbMath1198.62099OpenAlexW2088995703MaRDI QIDQ834020

Hira L. Koul, Donatas Surgailis

Publication date: 17 August 2009

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/37781

zbMATH Keywords

linear regressionmoving averagesWhittle quadratic forms

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design ⋮ The S-estimator in the change-point random model with long memory

Cites Work

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• Long-Term Memory in Stock Market Prices
• Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
• The asymptotic theory of linear time-series models
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors

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