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Asymptotic theory for regression models with fractional local to unity root errors

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  • Kris Brabanter

    (Iowa State University
    Iowa State University)

  • Farzad Sabzikar

    (Iowa State University)

Abstract

This paper develops the asymptotic theory for parametric and nonparametric regression models when the errors have a fractional local to unity root (FLUR) model structure. FLUR models are stationary time series with semi-long range dependence property in the sense that their covariance function resembles that of a long memory model for moderate lags but eventually diminishes exponentially fast according to the presence of a decay factor governed by a an exponential tempering parameter. When this parameter is sample size dependent, the asymptotic theory for these regression models admit a wide range of stochastic processes with behavior that includes long, semi-long, and short memory processes.

Suggested Citation

  • Kris Brabanter & Farzad Sabzikar, 2021. "Asymptotic theory for regression models with fractional local to unity root errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(7), pages 997-1024, October.
    • Handle: RePEc:spr:metrik:v:84:y:2021:i:7:d:10.1007_s00184-021-00812-7
    DOI: 10.1007/s00184-021-00812-7
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    References listed on IDEAS

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