Confidence intervals for long memory regressions

Kyungduk Ko, Jaechoul Lee, Robert Lund

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)1894-1902
Number of pages9
JournalStatistics and Probability Letters
Volume78
Issue number13
DOIs
StatePublished - Sep 15 2008
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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