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Asymptotic Normality of the Whittle Estimator in Linear Regression Models with Long Memory Errors

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  • Hira Koul
  • Donatas Surgailis

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  • Hira Koul & Donatas Surgailis, 2000. "Asymptotic Normality of the Whittle Estimator in Linear Regression Models with Long Memory Errors," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 129-147, January.
    • Handle: RePEc:spr:sistpr:v:3:y:2000:i:1:p:129-147
    DOI: 10.1023/A:1009999607588
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    References listed on IDEAS

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    1. 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.
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    Cited by:

    1. Ko, Kyungduk & Lee, Jaechoul & Lund, Robert, 2008. "Confidence intervals for long memory regressions," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1894-1902, September.
    2. Hongchang Hu & Weifu Hu & Xinxin Yu, 2021. "Pseudo-maximum likelihood estimators in linear regression models with fractional time series," Statistical Papers, Springer, vol. 62(2), pages 639-659, April.
    3. A. V. Ivanov & N. N. Leonenko & I. V. Orlovskyi, 2020. "On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 129-169, April.

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