IDEAS home Printed from https://ideas.repec.org/p/hit/econdp/2007-07.html
   My bibliography  Save this paper

Estimation in Partial Linear Models under Long-Range Dependence

Author

Listed:
  • Honda, Toshio

Abstract

We consider estimation of the linear component of a partial linear model when errors and regressors have long-range dependence. Assuming that errors and the stochastic component of regressors are linear processes with i.i.d. innovations, we closely examine the asymptotic properties of the OLS estimator calculated from nonparametric regression residuals. Especially we derive the asymptotic distribution when the combined long-range dependence of errors and the stochastic component of regressors exceeds a level. The case is not considered in any previous works on partial linear models. We also improve the existing results when the combined long-range dependence is less than the level.

Suggested Citation

  • Honda, Toshio, 2007. "Estimation in Partial Linear Models under Long-Range Dependence," Discussion Papers 2007-07, Graduate School of Economics, Hitotsubashi University.
  • Handle: RePEc:hit:econdp:2007-07
    as

    Download full text from publisher

    File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/17011/1/070econDP07-07.pdf
    Download Restriction: no

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hit:econdp:2007-07. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Digital Resources Section, Hitotsubashi University Library). General contact details of provider: http://edirc.repec.org/data/fehitjp.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.