Strong consistency of estimators for heteroscedastic partly linear regression model under dependent samples

Strong consistency of estimators for heteroscedastic partly linear regression model under dependent samples

0.00 Avg rating0 Votes
Article ID: iaor2004436
Country: United States
Volume: 15
Issue: 3
Start Page Number: 223
End Page Number: 233
Publication Date: Jul 2002
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors: ,
Abstract:

In this paper we are concerned with the heteroscedastic regression model yi = xiβ + g(ti) + σiei 1 ≤ i ≤ n) under correlated errors ei, where it is assumed that σi2 = f(ui), the design points (xi, ti, ui) are known and non-random, and g and f are unknown functions. The interest lies in the slope parameter β. Assuming the unobserved disturbance ei are negatively associated, we study the issue of strong consistency for two different slope estimators: the least squares estimator and the weighted least squares estimator.

Reviews

Required fields are marked *. Your email address will not be published.