Second order optimality for estimators in time series regression models

DOI10.1016/J.JMVA.2006.03.003zbMATH Open1107.62096OpenAlexW2026030967MaRDI QIDQ873630FDOQ873630

Kenichiro Tamaki

Publication date: 29 March 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.03.003

zbMATH Keywords

semiparametric estimationefficient estimationsecond order asymptoticsspectral regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Asymptotic theory of statistical inference for time series
• Second Order Approximation in the Partially Linear Regression Model
• Nonparametric approach for non-Gaussian vector stationary processes
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• Approximate Normality of Generalized Least Squares Estimates
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• HIGHER ORDER ASYMPTOTIC THEORY FOR MINIMUM CONTRAST ESTIMATORS OF SPECTRAL PARAMETERS OF STATIONARY PROCESSES
• Higher-order approximations for frequency domain time series regression
• Higher order approximations for Wald statistics in time series regressions with integrated processes.
• Second-order risk comparison of SLSE with GLSE and MLE in a regression with serial correlation
• Second-order risk structure of GLSE and MLE in a regression with a linear process
• SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS

Cited In (2)

• OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION
• Title not available (Why is that?)

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