ASYMPTOTIC PROPERTIES OF THE LSE IN A REGRESSION-MODEL WITH LONG-MEMORY STATIONARY ERRORS
成果类型：
Article
署名作者：
YAJIMA, Y
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
DOI：
10.1214/aos/1176347975
发表日期：
1991
页码：
158-177
关键词：
摘要：
We consider asymptotic properties of the least squares estimator (LSE) in a regression model with long-memory stationary errors. First we derive a necessary and sufficient condition that the LSE be asymptotically efficient relative to the best linear unbiased estimator (BLUE). Then we derive the asymptotic distribution of the LSE under a condition on the higher-order cumulants of the white-noise process of the errors.