Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
Work
Year: 2002
Type: article
Abstract: We show that it is possible to adapt to nonparametric disturbance autocorrelation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonpa... more
Source: Econometrica
Authors Javier Hidalgo, Peter M. Robinson
Institution London School of Economics and Political Science
Cites: 23
Cited by: 27
Related to: 10
FWCI: 4.145
Citation percentile (by year/subfield): 87.81
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green