Regression model fitting with a long memory covariate process

Econometric Theory

Volumn 20, Issue 3, 2004, Pages 485-512

  Koul, Hira L ^a   Baillie, Richard T ^a,b   Surgailis, Donatas ^c  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^c VILNIUS UNIVERSITY   (Lithuania)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 2542580255     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466604203036     Document Type: Article

References (41)

1. An, H.Z. & B. Cheng (1991) A Kolmogorov-Smirnov type statistic with application to test for nonlinearity in time series. International Statistical Review 59, 287-307.
2. Avram, F. & M.S. Taqqu (1987) Noncentral limit theorems and Appell polynomials. Annals of Probability 15, 767-775.
3. Baillie, R.T. (1996) Long memory processes and fractional integration in econometrics. Journal of Econometrics 73, 5-59.
4. Baillie, R.T. & T. Bollerslev (1994) The long memory of the forward premium. Journal of International Money and Finance 13, 309-324.
5. Baillie, R.T. & T. Bollerslev (2000) The forward premium anomaly is not as bad as you think. Journal of International Money and Finance 19, 471-488.
6. Baillie, R., C.-F. Chung, & M.A. Tieslau (1996) Analysing inflation by the fractionally integrated ARFIMA-GARCH model. Journal of Applied Econometrics 11, 23-40.
7. Bates, D.M & D.G. Watts (1988) Nonlinear Analysis and Its Applications. Wiley.
8. Beran, J. (1992) Statistical methods for data with long-range dependence (with discussion). Statistical Science 7, 404-427.
9. Beran, J. (1994) Statistics for Long-Memory Processes. Monographs on Statistics and Applied Probability 61. Chapman and Hall.
10. Billingsley, P. (1968) Convergence of Probability Measures. Wiley.
11. Booth, G.G., R.R. Kaen, & P.E. Koveos (1982) R/S analysis of foreign exchange rates under two international money regimes. Journal of Monetary Economics 10, 407-415.
12. Cheung, Y.-W. (1993) Long memory in foreign exchange rates. Journal of Business and Economic Statistics 11, 93-101.
13. Csörgö, M. & J. Mielniczuk (1996) The empirical process of a short-range dependent stationary sequence under Gaussian subordination. Probability Theory and Related Fields 104, 15-25.
14. Dehling, H. & M.S. Taqqu (1989) The empirical process of some long-range dependent sequences with an application to U-statistics. Annals of Statistics 17, 1767-1783.
15. Diebolt, J. & J. Zuber (1999) Goodness-of-fit tests for nonlinear heteroscedastic regression models. Statistics & Probability Letters 42, 53-60.
16. Dobrushin, R.L. & P. Major (1979) Non-central limit theorems for non-linear functionals of Gaussian fields. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 50, 27-52.
17. Engel, C. (1996) The forward discount anomaly and the risk premium: A survey of recent evidence. Journal of Empirical Finance 3, 123-192.
18. Giovannini, A. & P. Jorion (1987) Interest rates and risk premium in the stock market and in the foreign exchange market. Journal of International Money and Finance 6, 107-124.
19. Giraitis, L., H.L. Koul, & D. Surgailis (1996) Asymptotic normality of regression estimators with long memory errors. Statistics & Probability Letters 29, 317-335.
20. Giraitis, L. & D. Surgailis (1999) Central limit theorem for the empirical process of a linear sequence with long memory. Journal of Statistical Planning and Inference 80, 81-93.
21. Hai, W., N.C. Mark, & Y. Wu (1987) Understanding spot and forward exchange regressions. Journal of Applied Econometrics 12, 715-734.
22. Hall, P. & C.C. Heyde (1980) Martingale Limit Theory and Its Application. Academic Press.
23. Hodrick, R.J. (1989) Risk, uncertainty, and exchange rates. Journal of Monetary Economics 23, 433-459.
24. Ho, H.C. & T. Hsing (1996) On the asymptotic expansion of the empirical process of long memory moving averages. Annals of Statistics 24, 992-1024.
25. Ho, H.C. & T. Hsing (1997) Limit theorems for functionals of moving averages. Annals of Probability 25, 1636-1669.
26. Khmaladze, E.V. (1981) Martingale approach in the theory of goodness-of-fit tests. Theory of Probability and Its Applications 26, 240-257.
27. Koul, H.L. & K. Mukherjee (1993) Asymptotics of R-, MD-, and LAD-estimators in linear regression models with long-range dependent errors. Probability Theory and Related Fields 95, 535-553.
28. Koul, H.L. & W. Stute (1999) Nonparametric model checks for time series. Annals of Statistics 27, 204-236.
29. Koul, H.L. & D. Surgailis (1997) Asymptotic expansion of M-estimators with long memory errors. Annals of Statistics 25, 818-850.
30. Koul, H. L. & D. Surgailis (2000) Asymptotic normality of the Whittle estimator in linear regression models with long memory errors. Statistical Inference for Stochastic Processes 3, 129-147.
31. Koul, H.L. & D. Surgailis (2001) Asymptotics of the empirical process of long memory moving averages with infinite variance. Stochastic Processes and Their Applications 91, 309-336.
32. Koul, H.L. & D. Surgailis (2002) Asymptotic expansion of the empirical process of long memory moving averages. In H. Dehling, T. Mikosch, & M. Sørenson (eds.), Empirical Process Techniques for Dependent Data. pp 213-239. Birkhauser.
33. Lo, A. (1991) Long term memory in stock market prices. Econometrica 59, 1279-1313.
34. MacKinnon, J.G. (1992) Model specification tests and artificial regression. Journal of Econometric Literature 30, 102-146.
35. Maynard, A. & P.C.B. Phillips (2001) Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly. Journal of Applied Econometrics 16, 671-708.
36. Mussa, M.L. (1982) A model of exchange rate dynamics. Journal of Political Economy 90, 74-104.
37. Seber, G.A.F. and C.I. Wild (1989) Nonlinear Regression. Wiley.
38. Stute, W. (1997) Nonparametric model checks for regression. Annals of Statistics 25, 613-641.
39. Stute, W., W. Gonzalez Manteiga, & M. Presedo Quindimil (1998) Bootstrap approximations in model checks for regression. Journal of the American Statistical Association 93, 141-149.
40. Stute, W., S. Thies, & L.X. Zhu (1998) Model checks for regression: An innovation process approach. Annals of Statistics 26, 1916-1934.
41. Su, J.Q. & L.J. Wei (1991) A lack-of-fit test for the mean function in a generalized linear model. Journal of the American Statistical Association 86, 420-426