March 1, 2007
This paper considers the problem of statistical inference in linear regression models whose stochastic regressors and errors may exhibit long-range dependence. A time-domain sieve-type generalized least squares (GLS) procedure is proposed based on an autoregressive approximation to the generating mechanism of the errors. The asymptotic properties of the sieve-type GLS estimator are established. A Monte Carlo study examines the finite-sample properties of the method for testing regression hypotheses.
J.E.L classification codes: C12, C13, C22
Keywords:Autoregressive approximation, Generalized least squares, Linear regression, Long-range dependence, Spectral density