Consequences of Fractionally Integrated Regressors
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Date
1999
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Publisher
Universitätsbibliothek Dortmund
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.