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Keyword: asymptotic normality;
7 results found.
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Clifford Lam and Pedro Souza
This paper proposes a model for estimating the underlying cross-sectional dependence structure of a large panel of time series. Technical difficulties meant such a structure is usually assumed before further analysis. We...Read more...
25 November 2014
Peter M Robinson
Power law or generalized polynomial regressions with unknown real-valued exponents and coefficients, and weakly dependent errors, are considered for observations over time, space or space-time. Consistency and asymptotic...Read more...
Peter M Robinson and Supachoke Thawornkaiwong
Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear regression models for spatial data. General forms of spatial dependence and heterogeneity in explanato...Read more...
Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter (?), at the frequency of principal interest, zero; for short memory series ? = 0 automatically. The latter case h...Read more...
Javier Hualde and Peter M Robinson
Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, ß, between the integration order d of observable time series, and the integration order ? of cointegrating errors, is less ...Read more...
Wolfgang Haerdle, Oliver Linton and Qihua Wang
We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estima...Read more...
Marcia M Schafgans
We provide a proof of the consistency and asymptotic normality of the estimator suggested by Heckman (1990) for the intercept of a semiparametrically estimated sample selection model. The estimator is based on 'identific...Read more...