Time series regression with long-range dependence
具有长程依赖的时间序列回归
A central limit theorem is established for time series regression estimates which include generalized least squares, in the presence of long-range dependence in both errors and stochastic regressors. The setting and results differ significantly from earlier work on regression withlong-range-dependent errors. Spectral singularities are permitted at any frequency. When sufficiently strong spectral singularities in the error and a regressor coincide at the same frequency, least…