On Estimation of a Regression Model with Long-Memory Stationary Errors
Open Access
- 1 June 1988
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 16 (2) , 791-807
- https://doi.org/10.1214/aos/1176350837
Abstract
We consider estimation of a regression model with long-memory stationary errors. First, we estimate the regression parameters by the least-squares estimator (LSE) and, next, those describing the correlation structure of the error terms by using the residuals obtained from the LSE. Certain regularity conditions introduced to develop the asymptotic theory no longer hold in this model. In this situation we derive asymptotic properties of the preceding estimation procedure.Keywords
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