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


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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

@article{Beran1998Root--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:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:rights>deposit-license</dc:rights> <dcterms:bibliographicCitation>Publ. in: Scandinavian journal of statistics ; 25 (1998), 2. - S. 345-357</dcterms:bibliographicCitation> <dcterms:available rdf:datatype="">2012-03-22T08:45:13Z</dcterms:available> <bibo:uri rdf:resource=""/> <dc:date rdf:datatype="">2012-03-22T08:45:13Z</dc:date> <dcterms:issued>1998</dcterms:issued> <dc:contributor>Ghosh, Sucharita</dc:contributor> <dc:language>eng</dc:language> <dcterms:abstract xml:lang="eng">We consider estimation of β in the semiparametric regression model 𝑦(𝑖)=𝑥ϓ(𝑖)β + 𝑓(𝑖 / 𝑛) + 𝑐(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> <dc:creator>Ghosh, Sucharita</dc:creator> <dcterms:title>Root-n-consistent estimation in partial linearmodels with long-memory errors</dcterms:title> <dc:contributor>Beran, Jan</dc:contributor> <dcterms:rights rdf:resource=""/> <dc:creator>Beran, Jan</dc:creator> </rdf:Description> </rdf:RDF>

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