<研究論文>I(d)変数(d>1/2)を含む回帰モデルの統計的推定

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概要

• 論文の詳細を見る

• We derive the limiting nonstandard distributions of OLS(Ordinary Least Squares Estimators) for the following three kinds of regression models ; (1) both independent variable and error term follow I (d)(d>1/2) process, (2) independent variable follows I (d)(d>1/2) process and error term follows stationary process, (3) independent variable follows stationary process and error term follows I (d)(d>1/2) process. We also consider the statistical estimation method of d in the frequency domain.

• 関西学院大学の論文

著者

• 杉原 左右一

  Professor Of School Of Business Administration Kwansei Gakuin University

関連論文

• I(d)変数(d>1/2)を含む回帰モデルの統計的推定

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