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Consequences of fractionally integrated regressors

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  • Ploberger, Werner

Abstract

This paper analyzes linear models. It investigates the difference between the sum of squares of the residuals and the sum of squares of the prediction errors when the parameter is estimated consecutively. In case the regressors are “fractionally integrated” (in a very broad sense) it is shown that the asymptotic behavior of this difference is determined by the order of integration of the regressors.

Suggested Citation

  • Ploberger, Werner, 1999. "Consequences of fractionally integrated regressors," Technical Reports 1999,35, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:199935
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    File URL: https://www.econstor.eu/bitstream/10419/77323/2/1999-35.pdf
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    1. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606.
    2. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590.
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