In this paper, we consider the estimation of the coefficient of a stochastic regression model whose explanatory variables and disturbances are permitted to exhibit short-memory or long-memory dependence. Three estimators of the coefficient are proposed. A variety of their asymptotics are illuminated under various assumptions on the explanatory variables and the disturbances. Numerical studies of the theoretical results are given. They show some unexpected aspects of the asymptotics of the three estimators.
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