Testing a sub-hypothesis in linear regression models with long memory covariates and errors

Hira L. Koul; Donatas Surgailis

Applications of Mathematics (2008)

  • Volume: 53, Issue: 3, page 235-248
  • ISSN: 0862-7940

Abstract

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This paper considers the problem of testing a sub-hypothesis in homoscedastic linear regression models when the covariate and error processes form independent long memory moving averages. The asymptotic null distribution of the likelihood ratio type test based on Whittle quadratic forms is shown to be a chi-square distribution. Additionally, the estimators of the slope parameters obtained by minimizing the Whittle dispersion is seen to be n 1 / 2 -consistent for all values of the long memory parameters of the design and error processes.

How to cite

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Koul, Hira L., and Surgailis, Donatas. "Testing a sub-hypothesis in linear regression models with long memory covariates and errors." Applications of Mathematics 53.3 (2008): 235-248. <http://eudml.org/doc/37781>.

@article{Koul2008,
abstract = {This paper considers the problem of testing a sub-hypothesis in homoscedastic linear regression models when the covariate and error processes form independent long memory moving averages. The asymptotic null distribution of the likelihood ratio type test based on Whittle quadratic forms is shown to be a chi-square distribution. Additionally, the estimators of the slope parameters obtained by minimizing the Whittle dispersion is seen to be $n^\{1/2\}$-consistent for all values of the long memory parameters of the design and error processes.},
author = {Koul, Hira L., Surgailis, Donatas},
journal = {Applications of Mathematics},
keywords = {moving averages; linear regression; Whittle quadratic forms; chi-square; moving averages; linear regression; Whittle quadratic forms},
language = {eng},
number = {3},
pages = {235-248},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Testing a sub-hypothesis in linear regression models with long memory covariates and errors},
url = {http://eudml.org/doc/37781},
volume = {53},
year = {2008},
}

TY - JOUR
AU - Koul, Hira L.
AU - Surgailis, Donatas
TI - Testing a sub-hypothesis in linear regression models with long memory covariates and errors
JO - Applications of Mathematics
PY - 2008
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 53
IS - 3
SP - 235
EP - 248
AB - This paper considers the problem of testing a sub-hypothesis in homoscedastic linear regression models when the covariate and error processes form independent long memory moving averages. The asymptotic null distribution of the likelihood ratio type test based on Whittle quadratic forms is shown to be a chi-square distribution. Additionally, the estimators of the slope parameters obtained by minimizing the Whittle dispersion is seen to be $n^{1/2}$-consistent for all values of the long memory parameters of the design and error processes.
LA - eng
KW - moving averages; linear regression; Whittle quadratic forms; chi-square; moving averages; linear regression; Whittle quadratic forms
UR - http://eudml.org/doc/37781
ER -

References

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