Document Type

Article

Publication Date

9-15-2008

Abstract

This paper proposes an accurate confidence interval for the trend parameter in a linear regression model with long memory errors. The interval is based upon an equivalent sum of squares method and is shown to perform comparably to a weighted least squares interval. The advantages of the proposed interval lies in its relative ease of computation and should be attractive to practitioners.

Comments

This is an author-produced, peer-reviewed version of this article. The final, definitive version of this document can be found online at Statistics & Probability Letters, published by Elsevier. Copyright restrictions may apply. DOI: 10.1016/j.spl.2008.01.057