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On the rate of convergence to the Normal approximation of LSE in multiple regression with long memory random fields

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  • Nikolai Leonenko
  • Emanuele Taufer

    (DISA, Faculty of Economics, Trento University)

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Suggested Citation

  • Nikolai Leonenko & Emanuele Taufer, 2001. "On the rate of convergence to the Normal approximation of LSE in multiple regression with long memory random fields," Quaderni DISA 044, Department of Computer and Management Sciences, University of Trento, Italy, revised 12 Sep 2003.
    • Handle: RePEc:trt:disatr:044
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    References listed on IDEAS

    as
    1. Javier Hidalgo & Peter M Robinson, 1997. "Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)," STICERD - Econometrics Paper Series 318, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. R. S. Deo, 1997. "Asymptotic theory for certain regression models with long memory errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(4), pages 385-393, July.
    3. Giraitis, Liudas & Koul, Hira, 1997. "Estimation of the dependence parameter in linear regression with long-range-dependent errors," Stochastic Processes and their Applications, Elsevier, vol. 71(2), pages 207-224, November.
    4. N. N. Leonenko & Emanuele Taufer, 2001. "Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 54-71.
    5. Koul, H. L. & Mukherjee, K., 1994. "Regression Quantiles and Related Processes Under Long Range Dependent Errors," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 318-337, November.
    6. Leonenko, N. N. & Woyczynski, W. A., 1998. "Exact parabolic asymptotics for singular -D Burgers' random fields: Gaussian approximation," Stochastic Processes and their Applications, Elsevier, vol. 76(2), pages 141-165, August.
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