Root-n-consistent estimation in partial linearmodels with long-memory errors

Zitieren

Dateien zu dieser Ressource

Dateien Größe Format Anzeige

Zu diesem Dokument gibt es keine Dateien.

BERAN, Jan, Sucharita GHOSH, 1998. Root-n-consistent estimation in partial linearmodels with long-memory errors. In: Scandinavian journal of statistics. 25(2), pp. 345-357. Available under: doi: 10.1111/1467-9469.00108

@article{Beran1998Rootn-18831, title={Root-n-consistent estimation in partial linearmodels with long-memory errors}, year={1998}, doi={10.1111/1467-9469.00108}, number={2}, volume={25}, journal={Scandinavian journal of statistics}, pages={345--357}, author={Beran, Jan and Ghosh, Sucharita} }

<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/18831"> <dcterms:bibliographicCitation>Publ. in: Scandinavian journal of statistics ; 25 (1998), 2. - S. 345-357</dcterms:bibliographicCitation> <dc:rights>deposit-license</dc:rights> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-22T08:45:13Z</dcterms:available> <dcterms:abstract xml:lang="eng">We consider estimation of β in the semiparametric regression model y(i) - xT(i)β + f(i/n) + ε(i) where x(i) = g(i)/n) + e(i, f and g are unknown smooth functions and the processes ε(i) and e(i) are stationary with short- or long-range dependence. For the case of i.i.d. errors, Speckman (1988) proposed a √n–consistent estimator of β. In this paper it is shown that, under suitable regularity conditions, this estimator is asymptotically unbiased and √n–consistent even if the errors exhibit long-range dependence. The orders of the finite sample bias and of the required bandwidth depend on the long-memory parameters. Simulations and a data example illustrate the method</dcterms:abstract> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/18831"/> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-22T08:45:13Z</dc:date> <dcterms:issued>1998</dcterms:issued> <dc:contributor>Ghosh, Sucharita</dc:contributor> <dc:language>eng</dc:language> <dc:creator>Ghosh, Sucharita</dc:creator> <dc:contributor>Beran, Jan</dc:contributor> <dcterms:title>Root-n-consistent estimation in partial linearmodels with long-memory errors</dcterms:title> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103605204-4002607-1"/> <dc:creator>Beran, Jan</dc:creator> </rdf:Description> </rdf:RDF>

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto