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Truncated Estimator of Asymptotic Covariance Matrix in Partially Linear Models with Heteroscedastic Errors

Truncated Estimator of Asymptotic Covariance Matrix in Partially Linear Models with... A partially linear regression model with heteroscedastic and/or serially correlated errors is studied here. It is well known that in order to apply the semiparametric least squares estimation (SLSE) to make statistical inference a consistent estimator of the asymptotic covariance matrix is needed. The traditional residual-based estimator of the asymptotic covariance matrix is not consistent when the errors are heteroscedastic and/or serially correlated. In this paper we propose a new estimator by truncating, which is an extension of the procedure in White[32]. This estimator is shown to be consistent when the truncating parameter converges to infinity with some rate. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Truncated Estimator of Asymptotic Covariance Matrix in Partially Linear Models with Heteroscedastic Errors

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Publisher
Springer Journals
Copyright
Copyright © 2006 by Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-006-0330-7
Publisher site
See Article on Publisher Site

Abstract

A partially linear regression model with heteroscedastic and/or serially correlated errors is studied here. It is well known that in order to apply the semiparametric least squares estimation (SLSE) to make statistical inference a consistent estimator of the asymptotic covariance matrix is needed. The traditional residual-based estimator of the asymptotic covariance matrix is not consistent when the errors are heteroscedastic and/or serially correlated. In this paper we propose a new estimator by truncating, which is an extension of the procedure in White[32]. This estimator is shown to be consistent when the truncating parameter converges to infinity with some rate.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jan 1, 2006

References