A maximal moment inequality for long range dependent time series with applications to estimation and model selection

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A maximal moment inequality for long range dependent time series with applications to estimation and model selection

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Ching-Kang Ing (Institute of Statistical Science, Academia Sinica)
Ching-Zong Wei (Institute of Statistical Science, Academia Sinica)

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Ching-Kang Ing

Abstract

We establish a maximal moment inequality for the weighted sum of a long- range dependent process. An extension to H$\acute{a}$jek-R$\acute{e}$ny and Chow's type inequality is then obtained. It enables us to deduce a strong law for the weighted sum of a stationary long-range dependent time series. To illustrate its usefulness, applications of the inequality to estimation and model selection in multiple regression models with long-range dependent errors are given.

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Paper provided by EconWPA in its series Econometrics with number 0508009.

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Length: 22 pages
Date of creation: 07 Aug 2005
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Handle: RePEc:wpa:wuwpem:0508009

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-11-09 (All new papers)
NEP-ECM-2005-11-09 (Econometrics)
NEP-ETS-2005-11-09 (Econometric Time Series)

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Gui-Jing, Chen & Lai, T. L. & Wei, C. Z., 1981. "Convergence systems and strong consistency of least squares estimates in regression models," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 319-333, September. [Downloadable!] (restricted)
Lai, T. L. & Wei, C. Z., 1982. "Asymptotic properties of projections with applications to stochastic regression problems," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 346-370, September. [Downloadable!] (restricted)

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