کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1149622 | 957888 | 2009 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
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چکیده انگلیسی
This paper considers the problem of testing a sub-hypothesis in homoscedastic linear regression models where errors form long memory moving average processes and designs are non-random. Unlike in the random design case, asymptotic null distribution of the likelihood ratio type test based on the Whittle quadratic form is shown to be non-standard and non-chi-square. Moreover, the rate of consistency of the minimum Whittle dispersion estimator of the slope parameter vector is shown to be n-(1-α)/2, different from the rate n-1/2 obtained in the random design case, where α is the rate at which the error spectral density explodes at the origin. The proposed test is shown to be consistent against fixed alternatives and has non-trivial asymptotic power against local alternatives that converge to null hypothesis at the rate n-(1-α)/2.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 139, Issue 8, 1 August 2009, Pages 2715-2730
Journal: Journal of Statistical Planning and Inference - Volume 139, Issue 8, 1 August 2009, Pages 2715-2730
نویسندگان
Hira L. Koul, Donatas Surgailis,