Asymptotic distribution of least square estimators for linear models with dependent errors

DOI10.1080/02331888.2019.1593987zbMATH Open1419.62165arXiv1806.05287OpenAlexW3104622180WikidataQ128190781 ScholiaQ128190781MaRDI QIDQ5384673FDOQ5384673

Authors: Emmanuel Caron 

Publication date: 24 June 2019

Published in: Statistics (Search for Journal in Brave)

Abstract: In this paper, we consider the usual linear regression model in the case where the error process is assumed strictly stationary. We use a result from Hannan (1973), who proved a Central Limit Theorem for the usual least square estimator under general conditions on the design and on the error process. Whatever the design satisfying Hannan's conditions, we define an estimator of the covariance matrix and we prove its consistency under very mild conditions. As an application, we show how to modify the usual tests on the linear model in this dependent context, in such a way that the type-I error rate remains asymptotically correct, and we illustrate the performance of this procedure through different sets of simulations.

Full work available at URL: https://arxiv.org/abs/1806.05287

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zbMATH Keywords

asymptotic normalitylinear regression modelstationary processstatistical testsspectral density estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05)

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Cited In (13)

• The Asymptotic Covariance Matrix of the Least Squares Estimator in the Stochastic Linear Regression Model: The Case of Elliptically Symmetric Distribution
• SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET
• Asymptotic property of \(M\) estimator in classical linear models under dependent random errors
• The limiting distribution of least squares in an errors-in-variables regression model
• Asymptotic properties of least-squares estimates in stochastic regression models
• On the asymptotic distribution of weighted least squares estimators
• Title not available (Why is that?)
• Huber-Dutter estimation of linear models with dependent errors
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• Asymptotic theory of least distances estimate in multivariate linear models
• Asymptotic properties of the minimum sum of absolute errors estimators in a dose-response model
• Title not available (Why is that?)
• Precise asymptotics for the first moment of the error variance estimator in linear models

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