Asymptotics of M-estimators in non-linear regression with long memory designs

Baillie, 1996, Long memory processes and fractional integration in econometrics, J. Econometrics, 73, 5, 10.1016/0304-4076(95)01732-1 Baillie, 1994, The long memory of the forward premium, J. Internat. Money Finance, 13, 309, 10.1016/0261-5606(94)90005-1 Bates, D.M., Watts, D.G., 1988. Nonlinear Regression Analysis and its Applications. Wiley Series in Probability and Mathematical Statistics: Applied Probability and Statistics. Wiley, New York, xvi+365 pp. Beran, 1992, Statistical methods for data with long-range dependence, Statist. Sci., 7, 404, 10.1214/ss/1177011122 Beran, 1994, Statistics for Long-Memory Processes, Vol. 61 Giraitis, 1999, Central limit theorem for the empirical process of a linear sequence with long memory, J. Statist. Plann. Inference, 80, 81, 10.1016/S0378-3758(98)00243-2 Giraitis, 1996, Asymptotic normality of regression estimators with long memory errors, Statist. Probab. Lett., 29, 317, 10.1016/0167-7152(95)00188-3 Hannan, 1971, Non-linear regression, J. Appl. Probab., 8, 767, 10.2307/3212240 Ho, 1997, Limit theorems for functionals of moving averages, Ann. Probab., 25, 1636, 10.1214/aop/1023481106 Huber, 1981 Jennrich, 1969, Asymptotic properties of non-linear least square estimators, Ann. Math. Statist., 40, 633, 10.1214/aoms/1177697731 Koul, 1992, M-estimators in linear models with long-range dependent errors, Statist. Probab. Lett., 14, 153, 10.1016/0167-7152(92)90079-K Koul, H.L., 1996. Asymptotics of M-estimators in non-linear regression with long range dependent errors. In: Robinson, P.M., Rosenblatt, M. (Eds.), Athens Conference on Applied Probab. and Statist. (Honoring E.J. Hannan). Lecture Notes Ser., Vol. II. Springer, Berlin. Koul, 2002, Weighted Empirical Processes in Dynamic Nonlinear Models, Vol. 166 Koul, 1993, Asymptotics of R-, MD- and LAD-estimators in linear regression models with long-range dependent errors, Probab. Theory Related Fields, 95, 535, 10.1007/BF01196733 Koul, 1997, Asymptotic expansion of M-estimators with long memory errors, Ann. Statist., 25, 818, 10.1214/aos/1031833675 Maynard, 2001, Rethinking an old puzzle, J. Appl. Econometrics, 16, 671, 10.1002/jae.624 Seber, 1989 Wu, 1981, Asymptotic theory of nonlinear least squares estimation, Ann. Statist., 9, 501, 10.1214/aos/1176345455