IDEAS home Printed from https://ideas.repec.org/a/mtn/ancoec/2001105.html
   My bibliography  Save this article

Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors

Author

Listed:
  • N. N. Leonenko
  • Emanuele Taufer

Abstract

No abstract is available for this item.

Suggested Citation

  • N. N. Leonenko & Emanuele Taufer, 2001. "Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 54-71.
    • Handle: RePEc:mtn:ancoec:2001:105
    as

    Download full text from publisher

    File URL: https://www.dss.uniroma1.it/RePec/mtn/articoli/2001-LIX-1_2-5.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. Giraitis, Liudas & Koul, Hira, 1997. "Estimation of the dependence parameter in linear regression with long-range-dependent errors," Stochastic Processes and their Applications, Elsevier, vol. 71(2), pages 207-224, November.
    3. F. Comte, 1996. "Simulation And Estimation Of Long Memory Continuous Time Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(1), pages 19-36, January.
    4. Koul, H. L. & Mukherjee, K., 1994. "Regression Quantiles and Related Processes Under Long Range Dependent Errors," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 318-337, November.
    5. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    6. Comte, F. & Renault, E., 1996. "Long memory continuous time models," Journal of Econometrics, Elsevier, vol. 73(1), pages 101-149, July.
    7. R. S. Deo, 1997. "Asymptotic theory for certain regression models with long memory errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(4), pages 385-393, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Taufer, Emanuele, 2015. "On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 262-271.
    2. Nikolai Leonenko & Emanuele Taufer, 2001. "On the rate of convergence to the Normal approximation of LSE in multiple regression with long memory random fields," Quaderni DISA 044, Department of Computer and Management Sciences, University of Trento, Italy, revised 12 Sep 2003.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Nikolai Leonenko & Emanuele Taufer, 2001. "On the rate of convergence to the Normal approximation of LSE in multiple regression with long memory random fields," Quaderni DISA 044, Department of Computer and Management Sciences, University of Trento, Italy, revised 12 Sep 2003.
    2. Leonenko, Nikolai N. & Sharapov, Michail M. & El-Bassiouny, Ahmed H., 2000. "On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields," Statistics & Probability Letters, Elsevier, vol. 48(2), pages 121-130, June.
    3. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
    4. Susanne M. Schennach, 2018. "Long Memory via Networking," Econometrica, Econometric Society, vol. 86(6), pages 2221-2248, November.
    5. Henghsiu Tsai & K. S. Chan, 2005. "Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 691-713, September.
    6. Federico M. Bandi & Benoit Perron, 2006. "Long Memory and the Relation Between Implied and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 636-670.
    7. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
    8. Hassler, Uwe & Marmol, Francesc, 1998. "Fractional cointegrating regressions in the presence of linear time trends," DES - Working Papers. Statistics and Econometrics. WS 9794, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
    10. Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
    11. Manabu Asai & Michael McAleer, 2017. "A fractionally integrated Wishart stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
    12. Jia Li & Dacheng Xiu, 2016. "Generalized Method of Integrated Moments for High‐Frequency Data," Econometrica, Econometric Society, vol. 84, pages 1613-1633, July.
    13. Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society.
    14. Morten Ø. Nielsen & Per Houmann Frederiksen, 2008. "Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration," Working Paper 1171, Economics Department, Queen's University.
    15. Anne Philippe & Caroline Robet & Marie-Claude Viano, 2021. "Random discretization of stationary continuous time processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(3), pages 375-400, April.
    16. Inoua, Sabiou M. & Smith, Vernon L., 2023. "A classical model of speculative asset price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    17. Fabienne Comte & Valentine Genon-Catalot, 2021. "Nonparametric estimation for i.i.d. Gaussian continuous time moving average models," Statistical Inference for Stochastic Processes, Springer, vol. 24(1), pages 149-177, April.
    18. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
    19. Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.
    20. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mtn:ancoec:2001:105. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marco Alfo' (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.