Asymptotics of Estimates in Constrained Nonlinear Regression with Long-range Dependent Innovations
نویسنده
چکیده
Abstrac t . The purpose of this paper is to investigate the asymptotic properties of the least squares estimates (L2-estimates) and the least absolute deviation estimates (Ll-estimates) of the parameters of a nonlinear regression model subject to a set of equality and inequality restrictions, which has a long-range dependent stationary process as its stochastic errors. Then we will compare the asymptotic relative efficiencies of the above estimators.
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