메뉴 건너뛰기




Volumn 11, Issue 1-3, 1999, Pages 251-269

Root-N-consistent estimation of partially linear time series models

Author keywords

Absolute regularity; Partially linear model; Semiparametric regression

Indexed keywords


EID: 0001255611     PISSN: 10485252     EISSN: None     Source Type: Journal    
DOI: 10.1080/10485259908832783     Document Type: Article
Times cited : (43)

References (28)
  • 1
    • 0000090466 scopus 로고
    • Asymptotic normality of series estimators for nonparametric and semiparametric regression models
    • Andrews, D. W. K. (1991) "Asymptotic normality of series estimators for nonparametric and semiparametric regression models", Econometrica, 59, 307-345.
    • (1991) Econometrica , vol.59 , pp. 307-345
    • Andrews, D.W.K.1
  • 2
    • 0001874562 scopus 로고
    • Asymptotics for semiparametric econometric models via stochastic equicontinuity
    • Andrews, D. W. K. (1994) "Asymptotics for semiparametric econometric models via stochastic equicontinuity", Econometrica, 62, 43-72.
    • (1994) Econometrica , vol.62 , pp. 43-72
    • Andrews, D.W.K.1
  • 3
    • 0000047875 scopus 로고
    • Martingale central limit theorems
    • Brown, B. M. (1971) "Martingale central limit theorems", Ann. Math. Statist., 42, 59-66.
    • (1971) Ann. Math. Statist. , vol.42 , pp. 59-66
    • Brown, B.M.1
  • 4
    • 0000198789 scopus 로고
    • Efficiency bounds for semiparametric regression
    • Chamberlain, G. (1992) "Efficiency bounds for semiparametric regression", Econometrica, 60, 567-596.
    • (1992) Econometrica , vol.60 , pp. 567-596
    • Chamberlain, G.1
  • 5
    • 0000354504 scopus 로고
    • Convergence rates for parametric components in a partially linear model
    • Chen, H. (1988) "Convergence rates for parametric components in a partially linear model", Ann. Statist., 16, 136-146.
    • (1988) Ann. Statist. , vol.16 , pp. 136-146
    • Chen, H.1
  • 6
    • 0001055587 scopus 로고
    • Semiparametric additive regression
    • Cuzick, J. (1992) "Semiparametric additive regression", J. R. Statist. Soc. B, 54, 831-843.
    • (1992) J. R. Statist. Soc. B , vol.54 , pp. 831-843
    • Cuzick, J.1
  • 7
    • 34250150891 scopus 로고
    • On U-statistics and v. Mises' statistics for weakly dependent processes
    • Denker, M. and Keller, G. (1983) "On U-statistics and v. Mises' statistics for weakly dependent processes", Z. Wahrscheinlichkeitstheorie verw. Gebiete, 64, 505-522.
    • (1983) Z. Wahrscheinlichkeitstheorie Verw. Gebiete , vol.64 , pp. 505-522
    • Denker, M.1    Keller, G.2
  • 9
    • 0347088000 scopus 로고    scopus 로고
    • Central limit theorem for degenerate U-statistics of absolutely regular processes with applications to model specification testing
    • Fan, Y. and Li, Q. (1996a) "Central limit theorem for degenerate U-statistics of absolutely regular processes with applications to model specification testing", forthcoming in Journal of Nonparametric Statistics.
    • (1996) Journal of Nonparametric Statistics
    • Fan, Y.1    Li, Q.2
  • 10
    • 0030353969 scopus 로고    scopus 로고
    • Consistent model specification tests: Omitted variables and semiparametric functional forms
    • Fan, Y. and Li, Q. (1996b) "Consistent model specification tests: omitted variables and semiparametric functional forms", Econometrica, 64, 865-890.
    • (1996) Econometrica , vol.64 , pp. 865-890
    • Fan, Y.1    Li, Q.2
  • 11
    • 0040356549 scopus 로고
    • Root-N-Consistent semiparametric regression with conditional heteroscedastic disturbances
    • Fan, Y., Li, Q. and Stengos, T. (1995) "Root-N-Consistent semiparametric regression with conditional heteroscedastic disturbances", Journal of Quantitative Economics, 11, 229-140.
    • (1995) Journal of Quantitative Economics , vol.11 , pp. 229-1140
    • Fan, Y.1    Li, Q.2    Stengos, T.3
  • 12
    • 0001558410 scopus 로고
    • Spline smoothing in a partially linear model
    • Heckman, N. E. (1986) "Spline smoothing in a partially linear model", J. R. Statist. Soc. B, 48, 244-248.
    • (1986) J. R. Statist. Soc. B , vol.48 , pp. 244-248
    • Heckman, N.E.1
  • 14
    • 0000002467 scopus 로고    scopus 로고
    • Semiparametric estimation of partially linear panel data models
    • Li, Q. and Stengos, T. (1996) "Semiparametric estimation of partially linear panel data models", Journal of Econometrics, 71, 389-397.
    • (1996) Journal of Econometrics , vol.71 , pp. 389-397
    • Li, Q.1    Stengos, T.2
  • 15
    • 84974185463 scopus 로고
    • Nonparametric estimation and identification of nonlinear ARCH time series: Strong convergence and asymptotic normality
    • Masry, E. and Tjostheim, D. (1995) "Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality"; Econometric Theory, 11, 258-289.
    • (1995) Econometric Theory , vol.11 , pp. 258-289
    • Masry, E.1    Tjostheim, D.2
  • 16
    • 84986786266 scopus 로고
    • Sur un modéle autorégressif non linéaire, ergodicité et ergodicité géométrique
    • Mokkadem, A. (1987) "Sur un modéle autorégressif non linéaire, ergodicité et ergodicité géométrique", J. Time Ser. Anal., 8, 195-204.
    • (1987) J. Time Ser. Anal. , vol.8 , pp. 195-204
    • Mokkadem, A.1
  • 17
    • 0000548970 scopus 로고
    • Mixing properties of ARMA processes
    • Mokkadem, A. (1988) "Mixing properties of ARMA processes", Stochastic Process. Appl., 29, 309-315.
    • (1988) Stochastic Process. Appl. , vol.29 , pp. 309-315
    • Mokkadem, A.1
  • 18
    • 0001703939 scopus 로고
    • The mixing property of bilinear and generalized random coefficient autoregressive models
    • Pham, D. T. (1986) "The mixing property of bilinear and generalized random coefficient autoregressive models", Stochastic Process. Appl., 23, 291-300.
    • (1986) Stochastic Process. Appl. , vol.23 , pp. 291-300
    • Pham, D.T.1
  • 19
    • 0001155464 scopus 로고
    • Some mixing properties of time series models
    • Pham, D. T. and Tran, L. T. (1985) "Some mixing properties of time series models", Stochastic Process. Appl., 19, 297-303.
    • (1985) Stochastic Process. Appl. , vol.19 , pp. 297-303
    • Pham, D.T.1    Tran, L.T.2
  • 20
    • 0001099098 scopus 로고
    • Semiparametric estimation of index coefficients
    • Powell, J. L., Stock, J. H. and Stoker, T. M. (1989) "Semiparametric estimation of index coefficients", Econometrica, 57, 1043-1430.
    • (1989) Econometrica , vol.57 , pp. 1043-1430
    • Powell, J.L.1    Stock, J.H.2    Stoker, T.M.3
  • 21
    • 0000196746 scopus 로고
    • Convergence rates for partially spline models
    • Rice, J. A. (1986) "Convergence rates for partially spline models", Statist. Probab. Lett., 4, 203-208.
    • (1986) Statist. Probab. Lett. , vol.4 , pp. 203-208
    • Rice, J.A.1
  • 22
    • 0000218602 scopus 로고
    • Root-N consistent Semiparametric regression
    • Robinson, P. (1988) "Root-N consistent Semiparametric regression", Econometrica, 56, 931-954.
    • (1988) Econometrica , vol.56 , pp. 931-954
    • Robinson, P.1
  • 23
    • 0342882885 scopus 로고
    • Nearest-neighbor estimation of Semiparametric models
    • Robinson, P. (1995) "Nearest-neighbor estimation of Semiparametric models", Journal of Nonparametric Statistics, 5, 33-41.
    • (1995) Journal of Nonparametric Statistics , vol.5 , pp. 33-41
    • Robinson, P.1
  • 24
    • 0000179052 scopus 로고
    • On asymptotically efficient estimation in Semiparametric models
    • Schick, A. (1986) "On asymptotically efficient estimation in Semiparametric models", Ann. Statist., 14, 1139-1151.
    • (1986) Ann. Statist. , vol.14 , pp. 1139-1151
    • Schick, A.1
  • 25
    • 0011611735 scopus 로고
    • Smoothness priors and nonlinear models
    • Shiller, R. J. (1984) "Smoothness priors and nonlinear models", J. R. Statist. Assoc., 79, 609-615.
    • (1984) J. R. Statist. Assoc. , vol.79 , pp. 609-615
    • Shiller, R.J.1
  • 27
  • 28
    • 0040220600 scopus 로고
    • Limiting behavior of U-statistics for stationary, absolutely regular processes
    • Yoshihara, K. (1976) "Limiting behavior of U-statistics for stationary, absolutely regular processes", Z. Wahrscheinlichkeitstheorie verw. Gebiete, 35, 237-252.
    • (1976) Z. Wahrscheinlichkeitstheorie Verw. Gebiete , vol.35 , pp. 237-252
    • Yoshihara, K.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.