Asymptotic theory for partly linear models

This paper considers a partially linear model of the form y = x beta + g(t) + e, where beta is an unknown parameter vector, g(.) is an unknown function, and e is an error term. Based on a nonparametric estimate of g(.), the parameter beta is estimated by a semiparametric weighted least squares estimator. An asymptotic theory is established for the consistency of the estimators.

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Year of publication:	1994-07-01
Authors:	Gao, Jiti

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Gao, Jiti (1994): Asymptotic theory for partly linear models. Published in: Communications in Statistics: Theory and Methods , Vol. 24, No. 8 (7 April 1995): pp. 1985-2009.
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	BASE

Persistent link: https://www.econbiz.de/10015233199