Abstract
In this paper, we consider the estimation of the coefficient of a stochastic regression model whose explanatory variables and disturbances are permitted to exhibit short-memory or long-memory dependence. Three estimators of the coefficient are proposed. A variety of their asymptotics are illuminated under various assumptions on the explanatory variables and the disturbances. Numerical studies of the theoretical results are given. They show some unexpected aspects of the asymptotics of the three estimators.
| Original language | English |
|---|---|
| Pages (from-to) | 175-196 |
| Number of pages | 22 |
| Journal | Journal of Time Series Analysis |
| Volume | 22 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2001 Mar |
| Externally published | Yes |
Keywords
- Best linear unbiased estimator (BLUE)
- Least squares estimator (LSE)
- Long-memory process
- Ratio estimator (RE)
- Short-memory process
- Spectral density
- Stationary linear process
- Stochastic regression model
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics