Two-step estimation in linear regressions with adaptive learning

DOI10.1016/j.spl.2022.109761zbMath1524.62445arXiv2204.05298MaRDI QIDQ6101704

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Publication date: 20 June 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.05298

zbMATH Keywords

stochastic approximationnonlinear least squaresgenerated regressorasymptotic collinearity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

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• Estimation and inference in adaptive learning models with slowly decreasing gains

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