{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,10,31]],"date-time":"2023-10-31T15:30:34Z","timestamp":1698766234610},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2000,6,1]],"date-time":"2000-06-01T00:00:00Z","timestamp":959817600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2000,6]]},"abstract":"<jats:p>This paper considers the problems of estimation \nand inference in the linear regression model with fractionally \nintegrated errors. The ordinary least squares (OLS) and \nthe first differenced (FD) estimators are studied. Relative \nto the OLS estimators, a substantial increase in the convergence \nrates of the coefficient estimator for the stochastic regressor \ncan be achieved by the FD estimators when the error term \nis nonstationary. However, the preceding decisive results \ncan not always sustain when the error term is stationary. \nWe also find that the FD estimators can eliminate the spurious \nregression because the FD <jats:italic>t<\/jats:italic>-ratio for the coefficient \nestimators never diverges.<\/jats:p>","DOI":"10.1017\/s0266466600163029","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T09:45:46Z","timestamp":1027763146000},"page":"324-346","source":"Crossref","is-referenced-by-count":5,"title":["ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY \nINTEGRATED ERRORS"],"prefix":"10.1017","volume":"16","author":[{"given":"Wen-Jen","family":"Tsay","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2000,6,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600163029","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,11]],"date-time":"2019-04-11T15:59:52Z","timestamp":1554998392000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600163029\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,6]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2000,6]]}},"alternative-id":["S0266466600163029"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600163029","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,6]]}}}