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

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  • Li, Zheng
  • Su, Li
  • Zhang, Daiqiang

Abstract

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.

Suggested Citation

  • Li, Zheng & Su, Li & Zhang, Daiqiang, 2014. "Profile least squares estimation of a partially linear time trend model with weakly dependent data," Economics Letters, Elsevier, vol. 125(3), pages 404-407.
    • Handle: RePEc:eee:ecolet:v:125:y:2014:i:3:p:404-407
    DOI: 10.1016/j.econlet.2014.10.030
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    References listed on IDEAS

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    More about this item

    Keywords

    Partially linear; Time trend; Semiparametric bound; asymptotic normality;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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