Second order optimality for estimators in time series regression models

研究成果: Article査読

1 被引用数 (Scopus)

抄録

We consider the second order asymptotic properties of an efficient frequency domain regression coefficient estimator over(β, ^) proposed by Hannan [Regression for time series, Proc. Sympos. Time Series Analysis (Brown Univ., 1962), Wiley, New York, 1963, pp. 17-37]. This estimator is a semiparametric estimator based on nonparametric spectral estimators. We derive the second order Edgeworth expansion of the distribution of over(β, ^). Then it is shown that the second order asymptotic properties are independent of the bandwidth choice for residual spectral estimator, which implies that over(β, ^) has the same rate of convergence as in regular parametric estimation. This is a sharp contrast with the general semiparametric estimation theory. We also examine the second order Gaussian efficiency of over(β, ^). Numerical studies are given to confirm the theoretical results.

本文言語English
ページ(範囲)638-659
ページ数22
ジャーナルJournal of Multivariate Analysis
98
3
DOI
出版ステータスPublished - 2007 3

ASJC Scopus subject areas

  • 統計学および確率
  • 数値解析
  • 統計学、確率および不確実性

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