Asymptotic Distribution of Least Squares Estimators for Linear Models with Dependent Errors: Regular Designs
نویسندگان
چکیده
منابع مشابه
Asymptotic Least Squares Estimators for Dynamic Games
This paper considers the estimation problem in dynamic games with nite actions. We derive the equation system that characterizes the Markovian equilibria. The equilibrium equation system enables us to characterize conditions for identi cation. We consider a class of asymptotic least squares estimators de ned by the equilibrium conditions. This class provides a uni ed framework for a number of ...
متن کاملAsymptotic Least Squares Estimators for Dynamic Games1
This paper considers the estimation problem in dynamic games with finite actions. We derive the equation system that characterizes the Markovian equilibria. The equilibrium equation system enables us to characterize conditions for identification. We consider a class of asymptotic least squares estimators defined by the equilibrium conditions. This class provides a unified framework for a number...
متن کاملOn the Asymptotic Distribution of the Least Squares Estimators for Non-indenti ed Models
For the purpose to analyze the stochastic property of parameters in multi-layered perceptrons or other learning machines, we deal with simpler models and derive the asymptotic distribution of the least squares estimators of their parameters. In case that the model is non-identi ed, we show di erent results from traditional linear models, i.e., the well-known property called asymptotic normality...
متن کاملAsymptotic Properties of Least Squares Estimators of Cointegrating Vectors
Time series variables that stochastically trend together form a cointegrated system. In such systems, certain linear combinations of contemporaneous values of these variables have a lower order of integration than does each variable considered individually. These linear combinations are given by cointegrating vectors. OLS and NLS estimators of the parameters of a cointegrating vector are shown ...
متن کاملAsymptotic oracle properties of SCAD-penalized least squares estimators
We study the asymptotic properties of the SCAD-penalized least squares estimator in sparse, high-dimensional, linear regression models when the number of covariates may increase with the sample size. We are particularly interested in the use of this estimator for simultaneous variable selection and estimation. We show that under appropriate conditions, the SCAD-penalized least squares estimator...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Methods of Statistics
سال: 2018
ISSN: 1066-5307,1934-8045
DOI: 10.3103/s1066530718040026