Profile least squares estimation of a partially linear time trend model with weakly dependent data

We consider a partially linear time trend model with weakly dependent data. We show that the semiparametric estimator for the time trend coefficient has the same rate of convergence as in the parametric time trend model case. We also show that the asymptotic variance reaches the semiparametric efficient bound. The Monte Carlo simulations strongly support our theoretical analysis.

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Year of publication:	2014
Authors:	Li, Zheng ; Su, Li ; Zhang, Daiqiang
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 3, p. 404-407
Publisher:	Elsevier
Subject:	Partially linear \| Time trend \| Semiparametric bound \| asymptotic normality

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Type of publication:	Article
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011116210