Minimum distance estimation in random coefficient regression models

DOI10.1214/AOS/1176325767MaRDI QIDQ1896247zbMATH OpenOpenAlexFDO

Authors Rudolf Beran, P. W. Millar

Publication date 21 August 1995

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176325767

zbMATH Keywords

characteristic functioncoefficient distributionconsistent nonparametric minimum distance methoddistribution estimateheteroscedastic multivariate linear regressioninverse Randon transformminimization problemprediction intervalrandom coefficient regression modelssemiparametricweak convergence metric

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Linear regression; mixed models (62J05)

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• Random coefficient regressions: parametric goodness-of-fit tests.
• A consistent semiparametric estimation of the consumer surplus distribution
• Adaptive estimation in the nonparametric random coefficients binary choice model by needlet thresholding
• Minimum distance approach to inference with many instruments
• Minimum distance regression-type estimates with rates under weak dependence
• Adaptive estimation in the linear random coefficients model when regressors have limited variation
• Rate-optimal nonparametric estimation for random coefficient regression models
• Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression
• A theoretic study of a distance-based regression model
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• Applied regression analysis bibliography update 1994-97
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• Efficient pseudo-Gaussian and rank-based detection of random regression coefficients
• Semiparametric estimation of random coefficients in structural economic models
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• Consistent estimation of the random structural coefficient distribution from the linear simultaneous equations system
• Goodness-of-fit tests in mixed models
• Minimum distance conditional variance function checking in heteroscedastic regression models
• Detecting random effects and error correlation in a periodic multiple regression model

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