Confidence intervals for long memory regressions

DOI10.1016/j.spl.2008.01.057zbMath1147.62366OpenAlexW2063149158MaRDI QIDQ947197

Jaechoul Lee, Kyungduk Ko, Robert B. Lund

Publication date: 29 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://scholarworks.boisestate.edu/math_facpubs/10

zbMATH Keywords

tables

Mathematics Subject Classification ID

Related Items (1)

Inducing normality from non-Gaussian long memory time series and its application to stock return data

Uses Software

• longmemo

Cites Work

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• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• On estimation of a regression model with long-memory stationary errors
• Time series regression with long-range dependence
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Equivalent sample sizes in time series regressions
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Robustness of whittle-type estimators for time series with long-range dependence
• Revisiting simple linear regression with autocorrelated errors
• Asymptotic normality of the Whittle estimator in linear regression models with long memory errors
• Finite sample efficiency of OLS in linear regression models with long-memory disturbances

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