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Local asymptotic normality for regression models with long-memory disturbance, with statistical applications

Author

Listed:
  • Marc Hallin
  • Masanobu Taniguchi
  • Abdeslam Serroukh
  • Kokyo Choy

Abstract

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Suggested Citation

  • Marc Hallin & Masanobu Taniguchi & Abdeslam Serroukh & Kokyo Choy, 1999. "Local asymptotic normality for regression models with long-memory disturbance, with statistical applications," ULB Institutional Repository 2013/2091, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/2091
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    Cited by:

    1. Yujie Xue & Masanobu Taniguchi, 2020. "Modified LASSO estimators for time series regression models with dependent disturbances," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(4), pages 845-869, December.
    2. Francq, Christian & Zakoian, Jean-Michel, 2023. "Local Asymptotic Normality Of General Conditionally Heteroskedastic And Score-Driven Time-Series Models," Econometric Theory, Cambridge University Press, vol. 39(5), pages 1067-1092, October.
    3. Maeyama, Yusuke & Tamaki, Kenichiro & Taniguchi, Masanobu, 2011. "Preliminary test estimation for spectra," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1580-1587, November.
    4. Anders Bredahl Kock & David Preinerstorfer, 2019. "Power in High‐Dimensional Testing Problems," Econometrica, Econometric Society, vol. 87(3), pages 1055-1069, May.
    5. Yacouba Boubacar Maïnassara & Youssef Esstafa & Bruno Saussereau, 2021. "Estimating FARIMA models with uncorrelated but non-independent error terms," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 549-608, October.
    6. Robinson, Peter, 2004. "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics 2126, London School of Economics and Political Science, LSE Library.
    7. Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series 480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Davy Paindaveine & Joséa Rasoafaraniaina & Thomas Verdebout, 2021. "Preliminary test estimation in uniformly locally asymptotically normal models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 689-707, June.

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