Finite sample efficiency of OLS in linear regression models with long-memory disturbances

Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity

Liudas Giraitis
Piotr Kokoszka
Remigijus Leipus
Gilles Teyssière

long memory, ARCH models, semiparametric estimation, modified R / S , KPSS and V / S statistics, per...

Confidence intervals for long memory regressions

Ko, Kyungduk
Lee, Jaechoul
Lund, Robert

This paper proposes an accurate confidence interval for the trend parameter in a linear regression m...

A random linear functional approach to efficiency bounds

Holly, Alberto

January 1995

This paper suggests a method for obtaining efficiency bounds in models containing either only infini...

Testing linearity of regression models with dependent errors by kernel based methods

Biedermann, S.
Dette, H. (Bochum Univ. (Germany). Fakultaet fuer Mathematik)
Dortmund Univ. (Germany). Sonderforschungsbereich 475 - Komplexitaetsreduktion in multivariaten Datenstrukturen

January 2000

SIGLEAvailable from TIB Hannover: RR 8460(2000,40) / FIZ - Fachinformationszzentrum Karlsruhe / TIB ...

The efficiency of OLS estimator in the linear regression model with spatially correlated errors

Gotu, B. (Dortmund Univ. (Germany). Fachbereich Statistik)
Dortmund Univ. (Germany). Sonderforschungsbereich 475 - Komplexitaetsreduktion in multivariaten Datenstrukturen

January 1999

Bounds for the fficiency of ordinary least squares relative to generalized least squares estimator i...

S-estimators in the linear regression model with long-memory error terms

Sibbertsen, P. (Dortmund Univ. (Germany). Fachbereich Statistik)
Dortmund Univ. (Germany). Sonderforschungsbereich 475 - Komplexitaetsreduktion in multivariaten Datenstrukturen

January 1998

We investigate the behaviour of S-estimators in the linear regression model, when the error terms ar...

On preliminary test and shrinkage estimation in linear models with long memory errors

Mukherjee, Kanchan

June 1998

This paper discusses the problem of estimating a subset of parameters when the complementary subset ...

Model Selection for Semiparametric Estimation of Long Memory in Time Series

Cli�ord M. Hurvich

February 2008

We study the properties of Mallows ' CL criterion for selecting a fractional exponential �FEXP�...

Nonparametric regression with long-memory errors

Deo, R. S.

The fixed design regression model with long-memory errors is considered. The finite-dimensional asym...

Efficient Estimation of Linear Regression Models With Autocorrelated Errors

Morey, Mathew James

January 10000

170 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1977.U of I OnlyRestricted to the ...

Multiepoch linear regression models

Kubackova, L.
Stuttgart Univ. (Germany). Geodaetisches Inst.

January 1993

SIGLEAvailable from TIB Hannover: RO 7297(19) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Tec...

Lineare Regression mit linearen Parameterbedingungen und unbekannter Fehlerkovarianzmatrix

Wirnhier, F.X.
Muenchen Technische Univ. (Germany). Inst. fuer Angewandte Mathematik und Statistik

January 1985

SIGLECopy held by FIZ Karlsruhe; available from UB/TIB Hannover / FIZ - Fachinformationszzentrum Kar...

Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

Kraemer, W. (Dortmund Univ. (Germany). Fachbereich Statistik)
Hassler, U. (Freie Univ. Berlin (Germany). Fachbereich Wirtschaftswissenschaft)
Dortmund Univ. (Germany). Sonderforschungsbereich 475 - Komplexitaetsreduktion in multivariaten Datenstrukturen

January 1997

SIGLEAvailable from TIB Hannover: RR 8460(1997,1) / FIZ - Fachinformationszzentrum Karlsruhe / TIB -...

The asymptotic distribution of a class of L-estimators under long range dependence

Mukherjee, Kanchan

June 1999

This paper obtains asymptotic representations of a class of L-estimators in a linear regression mode...

Finite sample efficiency of OLS in linear regression models with long-memory disturbances

Kleiber, Christian

January 2000

OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory...

Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity

Liudas Giraitis
Piotr Kokoszka
Remigijus Leipus
Gilles Teyssière

long memory, ARCH models, semiparametric estimation, modified R / S , KPSS and V / S statistics, per...

Confidence intervals for long memory regressions

Ko, Kyungduk
Lee, Jaechoul
Lund, Robert

This paper proposes an accurate confidence interval for the trend parameter in a linear regression m...

A random linear functional approach to efficiency bounds

Holly, Alberto

January 1995

This paper suggests a method for obtaining efficiency bounds in models containing either only infini...

Testing linearity of regression models with dependent errors by kernel based methods

Biedermann, S.
Dette, H. (Bochum Univ. (Germany). Fakultaet fuer Mathematik)
Dortmund Univ. (Germany). Sonderforschungsbereich 475 - Komplexitaetsreduktion in multivariaten Datenstrukturen

January 2000

SIGLEAvailable from TIB Hannover: RR 8460(2000,40) / FIZ - Fachinformationszzentrum Karlsruhe / TIB ...

The efficiency of OLS estimator in the linear regression model with spatially correlated errors

Gotu, B. (Dortmund Univ. (Germany). Fachbereich Statistik)
Dortmund Univ. (Germany). Sonderforschungsbereich 475 - Komplexitaetsreduktion in multivariaten Datenstrukturen

January 1999

Bounds for the fficiency of ordinary least squares relative to generalized least squares estimator i...

S-estimators in the linear regression model with long-memory error terms

Sibbertsen, P. (Dortmund Univ. (Germany). Fachbereich Statistik)
Dortmund Univ. (Germany). Sonderforschungsbereich 475 - Komplexitaetsreduktion in multivariaten Datenstrukturen

January 1998

We investigate the behaviour of S-estimators in the linear regression model, when the error terms ar...

On preliminary test and shrinkage estimation in linear models with long memory errors

Mukherjee, Kanchan

June 1998

This paper discusses the problem of estimating a subset of parameters when the complementary subset ...

Model Selection for Semiparametric Estimation of Long Memory in Time Series

Cli�ord M. Hurvich

February 2008

We study the properties of Mallows ' CL criterion for selecting a fractional exponential �FEXP�...

Nonparametric regression with long-memory errors

Deo, R. S.

The fixed design regression model with long-memory errors is considered. The finite-dimensional asym...

Efficient Estimation of Linear Regression Models With Autocorrelated Errors

Morey, Mathew James

January 10000

170 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1977.U of I OnlyRestricted to the ...

Multiepoch linear regression models

Kubackova, L.
Stuttgart Univ. (Germany). Geodaetisches Inst.

January 1993

SIGLEAvailable from TIB Hannover: RO 7297(19) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Tec...

Lineare Regression mit linearen Parameterbedingungen und unbekannter Fehlerkovarianzmatrix

Wirnhier, F.X.
Muenchen Technische Univ. (Germany). Inst. fuer Angewandte Mathematik und Statistik

January 1985

SIGLECopy held by FIZ Karlsruhe; available from UB/TIB Hannover / FIZ - Fachinformationszzentrum Kar...

Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

Kraemer, W. (Dortmund Univ. (Germany). Fachbereich Statistik)
Hassler, U. (Freie Univ. Berlin (Germany). Fachbereich Wirtschaftswissenschaft)
Dortmund Univ. (Germany). Sonderforschungsbereich 475 - Komplexitaetsreduktion in multivariaten Datenstrukturen

January 1997

SIGLEAvailable from TIB Hannover: RR 8460(1997,1) / FIZ - Fachinformationszzentrum Karlsruhe / TIB -...

The asymptotic distribution of a class of L-estimators under long range dependence

Mukherjee, Kanchan

June 1999

This paper obtains asymptotic representations of a class of L-estimators in a linear regression mode...

Finite sample efficiency of OLS in linear regression models with long-memory disturbances

Kleiber, Christian

January 2000

OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory...

Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity

Liudas Giraitis
Piotr Kokoszka
Remigijus Leipus
Gilles Teyssière

long memory, ARCH models, semiparametric estimation, modified R / S , KPSS and V / S statistics, per...

Confidence intervals for long memory regressions

Ko, Kyungduk
Lee, Jaechoul
Lund, Robert

This paper proposes an accurate confidence interval for the trend parameter in a linear regression m...

A random linear functional approach to efficiency bounds

Holly, Alberto

January 1995

This paper suggests a method for obtaining efficiency bounds in models containing either only infini...

Finite sample efficiency of OLS in linear regression models with long-memory disturbances

Abstract

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Finite sample efficiency of OLS in linear regression models with long-memory disturbances

Abstract

Extracted data

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