Second order optimality for estimators in time series regression models

DOI10.1016/J.JMVA.2006.03.003MaRDI QIDQ873630zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Higher-order approximations for frequency domain time series regression
• SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
• Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes
• scientific article; zbMATH DE number 3885162
• Second Order Approximation in the Partially Linear Regression Model

Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3332973 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Approximate Normality of Generalized Least Squares Estimates
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• Asymptotic theory of statistical inference for time series
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• Higher order approximations for Wald statistics in time series regressions with integrated processes.
• Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes
• Higher-order approximations for frequency domain time series regression
• Nonparametric approach for non-Gaussian vector stationary processes
• SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
• Second Order Approximation in the Partially Linear Regression Model
• 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

Cited in

(4)

• Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes
• Optimal bandwidth selection for robust generalized method of moments estimation
• The efficiency of the second-order nonlinear least squares estimator and its extension
• scientific article; zbMATH DE number 913285 (Why is no real title available?)

This page was built for publication: Second order optimality for estimators in time series regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q873630)