On Parameter Estimation for Semi-linear Errors-in-Variables Models

Cui Hengjian and Li Rongcai

Journal of Multivariate Analysis, 1998, vol. 64, issue 1, 1-24

Abstract: This paper studies a semi-linear errors-in-variables model of the formYi=x'i[beta]+g(Ti)+ei,Xi=xi+ui(1[less-than-or-equals, slant]i[less-than-or-equals, slant]n). The estimators of parameters[beta],[sigma]2and of the smooth functiongare derived by using the nearest neighbor-generalized least square method. Under some weak conditions, it is shown that the estimators of unknown vector[beta]and the unknown parameter[sigma]2are strongly consistent and asymptotically normal. The estimator ofgalso achieves an optimal rate of convergence.

Keywords: semi-linear errors-in-variables model; asymptotic normality; rate of convergence (search for similar items in EconPapers)
Date: 1998
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