Asymptotic theory for regression models with fractional local to unity root errors

This paper develops the asymptotic theory for parametric and nonparametric regression models when the errors have a fractional local to unity root (FLUR) model structure. FLUR models are stationary time series with semi-long range dependence property in the sense that their covariance function resem...

Full description

Saved in:
Bibliographic Details
Published in:Metrika 2021-10, Vol.84 (7), p.997-1024
Main Authors: De Brabanter, Kris, Sabzikar, Farzad
Format: Article
Language:English
Subjects:
Asymptotic properties
Economic Theory/Quantitative Economics/Mathematical Methods
Mathematics and Statistics
Nonparametric statistics
Parameters
Probability Theory and Stochastic Processes
Regression models
Statistics
Stochastic processes
Unity
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper develops the asymptotic theory for parametric and nonparametric regression models when the errors have a fractional local to unity root (FLUR) model structure. FLUR models are stationary time series with semi-long range dependence property in the sense that their covariance function resembles that of a long memory model for moderate lags but eventually diminishes exponentially fast according to the presence of a decay factor governed by a an exponential tempering parameter. When this parameter is sample size dependent, the asymptotic theory for these regression models admit a wide range of stochastic processes with behavior that includes long, semi-long, and short memory processes.
ISSN:0026-1335
1435-926X
DOI:10.1007/s00184-021-00812-7