Estimation in semiparametric time series regression
نویسندگان
چکیده
منابع مشابه
Estimation in Semiparametric Time Series Regression
In this paper, we consider a semiparametric time series regression model and establish a set of identification conditions such that the model under discussion is both identifiable and estimable. We then discuss how to estimate a sequence of local alternative functions nonparametrically when the null hypothesis does not hold. An asymptotic theory is established in each case. An empirical applica...
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ژورنال
عنوان ژورنال: Statistics and Its Interface
سال: 2011
ISSN: 1938-7989,1938-7997
DOI: 10.4310/sii.2011.v4.n2.a18