PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS

DOI10.1081/STA-120004912zbMath1075.62623MaRDI QIDQ4449051

Gemai Chen, Jin-hong You

Publication date: 4 February 2004

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

Asymptotic normalitySerially correlated errorsPartly linear regression modelSemiparametric generalized least squares estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items (3)

L₁ penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors ⋮ Statistical inference in a panel data semiparametric regression model with serially correlated errors ⋮ CONVERGENCE RATES OF ESTIMATORS IN PARTIAL LINEAR REGRESSION MODELS WITH MA(∞) ERROR PROCESS

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