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On Parameter Estimation for Semi-linear Errors-in-Variables Models

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  • Hengjian, Cui
  • Rongcai, Li

Abstract

This paper studies a semi-linear errors-in-variables model of the formYi=x'i[beta]+g(Ti)+ei,Xi=xi+ui(1[less-than-or-equals, slant]i[less-than-or-equals, slant]n). The estimators of parameters[beta],[sigma]2and of the smooth functiongare derived by using the nearest neighbor-generalized least square method. Under some weak conditions, it is shown that the estimators of unknown vector[beta]and the unknown parameter[sigma]2are strongly consistent and asymptotically normal. The estimator ofgalso achieves an optimal rate of convergence.

Suggested Citation

  • Hengjian, Cui & Rongcai, Li, 1998. "On Parameter Estimation for Semi-linear Errors-in-Variables Models," Journal of Multivariate Analysis, Elsevier, vol. 64(1), pages 1-24, January.
    • Handle: RePEc:eee:jmvana:v:64:y:1998:i:1:p:1-24
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    References listed on IDEAS

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    1. Donald, S. G. & Newey, W. K., 1994. "Series Estimation of Semilinear Models," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 30-40, July.
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    Cited by:

    1. Peixin Zhao & Liugen Xue, 2009. "Empirical likelihood inferences for semiparametric varying-coefficient partially linear errors-in-variables models with longitudinal data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 21(7), pages 907-923.

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