Profile least squares estimation of a partially linear time trend model with weakly dependent data

Zheng Li, Li Su and Daiqiang Zhang

Economics Letters, 2014, vol. 125, issue 3, 404-407

Abstract: We consider a partially linear time trend model with weakly dependent data. We show that the semiparametric estimator for the time trend coefficient has the same rate of convergence as in the parametric time trend model case. We also show that the asymptotic variance reaches the semiparametric efficient bound. The Monte Carlo simulations strongly support our theoretical analysis.

Keywords: Partially linear; Time trend; Semiparametric bound, asymptotic normality (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176514004194
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:3:p:404-407

DOI: 10.1016/j.econlet.2014.10.030

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().