Empirical process of residuals for regression models with long memory errors

We consider the residual empirical process in random design regression with long memory. We establish its limiting behaviour, showing that its rates of convergence are different from the rates of convergence for the empirical process based on (unobserved) errors.

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Year of publication:	2014
Authors:	Lorek, Paweł ; Kulik, Rafał
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 86.2014, C, p. 7-16
Publisher:	Elsevier
Subject:	Long memory \| Empirical process of residuals \| Regression analysis

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

Persistent link: https://www.econbiz.de/10011040139