Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices

Statistics and Probability Letters - Tập 114 - Trang 104-110 - 2016
Yoshimasa Uematsu1
1The Institute of Statistical Mathematics, 10-3 Midori-Cho, Tachikawa, Tokyo 190-8562, Japan

Tài liệu tham khảo

Anderson, 1971 Barro, 2004 Brockwell, 1991 Grenander, 1957 Hurvich, 1998, The mean squared error of Geweke and Porter-Hudak’s estimator of the memory parameter of a long-memory time series, J. Time Series Anal., 19, 19, 10.1111/1467-9892.00075 Mynbaev, 2009, Central limit theorems for weighted sums of linear processes: Lp-approximability versus Brownian motion, Econometric Theory, 25, 748, 10.1017/S0266466608090282 Mynbaev, 2011 Phillips, 2007, Regression with slowly varying regressors and nonlinear trends, Econometric Theory, 23, 557, 10.1017/S0266466607070260 Phillips, 2007, Transition modeling and econometric convergence tests, Econometrica, 75, 1771, 10.1111/j.1468-0262.2007.00811.x Phillips, 2009, Economic transition and growth, J. Appl. Econometrics, 24, 1153, 10.1002/jae.1080 Robinson, 1995, Log-periodogram regression of time series with long range dependence, Ann. Statist., 23, 1048, 10.1214/aos/1176324636 Vogelsang, 1998, Trend function hypothesis testing in the presence of serial correlation, Econometrica, 66, 123, 10.2307/2998543 Wu, 1981, Asymptotic theory of nonlinear least squares estimation, Ann. Statist., 9, 501, 10.1214/aos/1176345455 Zygmund, 2002