Root-n-consistent semiparametric estimation of partially linear models for weakly dependent observations |
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| Authors: | Toshio Honda |
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| Affiliation: | Institute of Social Sciences , University of Tsukuba , Tsukuba, Ibaraki, 305-8571, Japan |
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| Abstract: | ![]()
We consider estimation of the linear part in a partially linear model for absolutely regular observations. The estimator using random weights are proposed and the asymptotic normality of the estimator is established without compact support assumption. |
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| Keywords: | absolutely regular process local polynomial regression random weights exponential inequality asymptotic normality |
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