Least squares estimator for regression models with some deterministic time varying parameters

Least squares estimator for regression models with some deterministic time varying parameters

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Article ID: iaor19961869
Country: Germany
Volume: 43
Issue: 1
Start Page Number: 57
End Page Number: 67
Publication Date: Mar 1996
Journal: Metrika
Authors: ,
Abstract:

Here the authors study the least squares estimates in some regression models. They assume that the evolution of the parameter is linearly explosive (i.e. polynomial), or stable (i.e. sinusoidal). The authors prove the strong consistency, and establish the rate of convergence.

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