Confidence intervals for long memory regressions

Kyungduk Ko, Jaechoul Lee and Robert Lund

Statistics & Probability Letters, 2008, vol. 78, issue 13, 1894-1902

Abstract: This paper proposes an accurate confidence interval for the trend parameter in a linear regression model with long memory errors. The interval is based upon an equivalent sum of squares method and is shown to perform comparably to a weighted least squares interval. The advantages of the proposed interval lies in its relative ease of computation and should be attractive to practitioners.

Date: 2008
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