On Koul's minimum distance estimators in the regression models with long memory moving averages
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- Javier Hidalgo & Peter M Robinson, 1997. "Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)," STICERD - Econometrics Paper Series 318, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Koul, Hira L., 1985. "Minimum distance estimation in linear regression with unknown error distributions," Statistics & Probability Letters, Elsevier, vol. 3(1), pages 1-8, February.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Giraitis, Liudas & Koul, Hira L. & Surgailis, Donatas, 1996. "Asymptotic normality of regression estimators with long memory errors," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 317-335, September.
- Koul, Hira L. & Surgailis, Donatas, 2001. "Asymptotics of empirical processes of long memory moving averages with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 309-336, February.
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Keywords
Long-range dependence Multiple linear model Weighted empirical Asymptotic normality;Statistics
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