Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77323 
Year of Publication: 
1999
Series/Report no.: 
Technical Report No. 1999,35
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
This paper analyzes linear models. It investigates the difference between the sum of squares of the residuals and the sum of squares of the prediction errors when the parameter is estimated consecutively. In case the regressors are “fractionally integrated” (in a very broad sense) it is shown that the asymptotic behavior of this difference is determined by the order of integration of the regressors.
Document Type: 
Working Paper

Files in This Item:
File
Size
387.29 kB
172.16 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.