Adapting to unknown disturbance autocorrelation in regression with long memory

Econometrica

Volumn 70, Issue 4, 2002, Pages 1545-1581

  Hidalgo, Javier ^a   Robinson, Peter M ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Adaptive estimation; Long memory; Time series regression

Indexed keywords

CORRELATION METHODS; FREQUENCY DOMAIN ANALYSIS; LEAST SQUARES APPROXIMATIONS; MONTE CARLO METHODS; THEOREM PROVING; TIME SERIES ANALYSIS;

NONPARAMETRIC DISTURBANCE AUTOCORRELATIONS; REGRESSORS;

REGRESSION ANALYSIS;

EID: 0036074647     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00341     Document Type: Article

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