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Regression Models with Time Series Errors
Author(s) -
Lin T. C.,
Pourahmadi M.,
Schick A.
Publication year - 1999
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00147
Subject(s) - mathematics , estimator , covariate , series (stratigraphy) , linear regression , statistics , function (biology) , stationary process , combinatorics , paleontology , evolutionary biology , biology
In models of the form Y t = r ( X t ) + Z t , where r is an unknown function and { X t } is a covariate process independent of the stationary error { Z t }, we give conditions under which estimators based on residuals Z 1 , ..., Z n obtained from linear smoothers are asymptotically equivalent to those based on the actual errors Z 1 , ..., Z n .
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