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Asymptotic theory for partly linear models

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  • Gao, Jiti
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Abstract

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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File URL: http://mpra.ub.uni-muenchen.de/40452/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 40452.

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Date of creation: 01 Jul 1994
Date of revision: 02 Dec 1994
Publication status: Published in Communications in Statistics: Theory and Methods 8.24(1995): pp. 1985-2009
Handle: RePEc:pra:mprapa:40452

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Related research

Keywords: Asymptotic normality; linear process; partly linear model; strong consistency;

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References

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  1. Andrews, Donald W K, 1991. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 307-45, March.
  2. Rice, John, 1986. "Convergence rates for partially splined models," Statistics & Probability Letters, Elsevier, Elsevier, vol. 4(4), pages 203-208, June.
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Cited by:
  1. Aneiros-Perez, G. & Vilar-Fernandez, J.M., 2008. "Local polynomial estimation in partial linear regression models under dependence," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(5), pages 2757-2777, January.
  2. Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper, University Library of Munich, Germany 39562, University Library of Munich, Germany, revised 01 Sep 2000.
  3. Wong, Heung & Liu, Feng & Chen, Min & Ip, Wai Cheung, 2009. "Empirical likelihood based diagnostics for heteroscedasticity in partial linear models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(9), pages 3466-3477, July.
  4. Zhensheng Huang, 2012. "Empirical likelihood for varying-coefficient single-index model with right-censored data," Metrika, Springer, Springer, vol. 75(1), pages 55-71, January.
  5. You, Jinhong & Zhou, Xian, 2006. "Statistical inference in a panel data semiparametric regression model with serially correlated errors," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 97(4), pages 844-873, April.
  6. Huang, Tzee-Ming & Chen, Hung, 2008. "Estimating the parametric component of nonlinear partial spline model," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 99(8), pages 1665-1680, September.

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