Consequences of Fractionally Integrated Regressors

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DC Field	Value	Language
dc.contributor.author	Ploberger, Werner	de
dc.date.accessioned	2004-12-06T18:39:43Z	-
dc.date.available	2004-12-06T18:39:43Z	-
dc.date.issued	1999	de
dc.identifier.uri	http://hdl.handle.net/2003/4922	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15026	-
dc.description.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.	en
dc.format.extent	168403 bytes	-
dc.format.extent	396586 bytes	-
dc.format.mimetype	application/pdf	-
dc.format.mimetype	application/postscript	-
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject.ddc	310	de
dc.title	Consequences of Fractionally Integrated Regressors	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 475

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