Confidence intervals for long memory regressions

This paper proposes an accurate confidence interval for the trend parameter in a linear regression model with long memory errors. The interval is based upon an equivalent sum of squares method and is shown to perform comparably to a weighted least squares interval. The advantages of the proposed interval lies in its relative ease of computation and should be attractive to practitioners.

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Year of publication:	2008
Authors:	Ko, Kyungduk ; Lee, Jaechoul ; Lund, Robert
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 13, p. 1894-1902
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254124