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

Ching-Kang Ing and Ching-Zong Wei
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Ching-Zong Wei: Institute of Statistical Science, Academia Sinica

Econometrics from EconWPA

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.

Keywords: Autoregressive fractionally integrated moving average; long range dependence; maximal inequality; model selection; convergence system; strong consistency. (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2005-08-07
Note: Type of Document - pdf; pages: 22
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0508009

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