Parameter estimation of varying coefficients structural EV model with time series

DOI10.1007/S10114-016-3187-6zbMath1364.62057OpenAlexW2525186523MaRDI QIDQ2627876

Yan Yun Su, Heng-Jian Cui, Kai-Can Li

Publication date: 1 June 2017

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-016-3187-6

zbMATH Keywords

consistencyasymptotic normalitylinear stationary time seriesvarying coefficient EV modeladjust weighted least squares estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (1)

Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process

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• Estimation in a semiparametric partially linear errors-in-variables model
• Asymptotic normality of some estimators in a fixed-design semiparametric regression model with linear time series errors

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