Root-n-consistent Estimation in Partial Linear Models with Long-memory Errors
The model under consideration is the semiparametric regression model \(Y(i)=x^T(i)\beta +f(i/n)+\epsilon(i)\), where \(x(i)=g(i/n)+e(i)\) are vector explanatory variables, \(\beta= (\beta_1,\dots,\beta_p)^T\) is an unknown parameter vector, \(f(\cdot)\) and \(g(\cdot)\) are the unknown smooth functions, the processes \(\epsilon(i)\) and \(e(i)\) are the second oder stationary processes with short-range or long-range dependence. The authors extend Speckman's two-step method [see \textit{P. Speckman}, J. R. Stat. Soc., Ser. B 50, No.3, 413-436 (1988; Zbl 0671.62045)] for estimating the unknown regression parameter \(\beta\) in such models. In the first step of the proposed procedure the functions \(f(\cdot)\) and \(g(\cdot)\) are estimated by kernel estimators (the Nadaraya-Watson kernel can be used, for instance). In the second step \(\beta\) is estimated via least squares. It is proved that under suitable regularity conditions the Speckman type estimator is asymptotically unbiased and \(\sqrt{n}\)-consistent even if errors exhibit long-range dependence. The orders of the finite sample bias and the required bandwidth depend on long-memory parameters. Simulations and real data examples illustrate the usefulness of the method.
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