Large sample inference for a multivariate linear model with autocorrelated errors

DOI10.1016/0378-3758(94)90163-5MaRDI QIDQ1333102zbMATH OpenOpenAlexFDO

Authors Sankara N. Sethuraman, I. V. Basawa

Publication date 8 November 1994

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(94)90163-5

zbMATH Keywords

asymptotic testsautocorrelated errorsautoregressive processeserror covariance matrixgrowth curveslarge sample testsleast-squares estimatorslimit distributionsmean vectormultivariate linear modeltime-trend parameterwithin-group variation parameter

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Large-sample inference for a regression model with autocorrelated errors
• Large sample inference based on multiple observations from nonlinear autoregressive processes
• Large-sample estimation and inference in multivariate single-index models
• scientific article; zbMATH DE number 4182656
• Large sample inference in random coefficient regression models
• Large-sample inference for nonparametric regression with dependent errors

Cites work

• EMPIRICAL BAYES ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE PROCESSES
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3782257 (Why is no real title available?)
• scientific article; zbMATH DE number 125636 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3271181 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Large-sample inference for a regression model with autocorrelated errors
• Large-sample tests of homogeneity for time series models
• Statistics for Modern Business Decisions (2nd ed.).
• The Lindeberg-Levy Theorem for Martingales

Cited in

(5)

• Statistical inference in a panel data semiparametric regression model with serially correlated errors
• Large sample theory for a multivariate structural relationship with replication
• scientific article; zbMATH DE number 3967699 (Why is no real title available?)
• Large-sample inference for a regression model with autocorrelated errors
• Statistical inference for multivariate longitudinal data with irregular auto-correlated error process

This page was built for publication: Large sample inference for a multivariate linear model with autocorrelated errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1333102)