Asymptotic Properties of the LSE in a Regression Model with Long-Memory Stationary Errors
Open Access
- 1 March 1991
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 19 (1) , 158-177
- https://doi.org/10.1214/aos/1176347975
Abstract
We consider asymptotic properties of the least squares estimator (LSE) in a regression model with long-memory stationary errors. First we derive a necessary and sufficient condition that the LSE be asymptotically efficient relative to the best linear unbiased estimator (BLUE). Then we derive the asymptotic distribution of the LSE under a condition on the higher-order cumulants of the white-noise process of the errors.Keywords
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