Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory

We have established the asymptotic theory for the estimation of adaptive varying-coe�cient linear models. More speci�cally we have shown that the estimator for the global index parameter is root-n consistent without imposing, as a prerequisite, that the estimator is within n

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Year of publication:	2007-01
Authors:	Lu, Zudi ; Tjøstheim, Dag ; Yao, Qiwei
Institutions:	London School of Economics (LSE)
Subject:	adaptive varying-coe�cient model \| mixing \| asymptotic normality \| index parameter \| root-n consistency \| uniform convergence

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Statistica Sinica, January, 2007, 17(1), pp. 177-198. ISSN: 1017-0405
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011126363