2005
DOI: 10.3844/ajassp.2005.1343.1349
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β -Spline Estimation in a Semiparametric Regression Model with Nonlinear Time Series Errors

Abstract: We study the estimation problems for a partly linear regression model with a nonlinear time series error structure. The model consists of a parametric linear component for the regression coefficients and a nonparametric nonlinear component. The random errors are unobservable and modeled by a firstorder Markov bilinear process. Based on a B-spline series approximation of the nonlinear component function, we propose a semiparametric ordinary least squares estimator and a semiparametric generalized least squares … Show more

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Cited by 2 publications
(1 citation statement)
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“…[6], You, J, Chen [7] and Eubank [1]). Speckman [8], Hong [9], You, J, Chen [7] and Manzana [10] employed Kernel function in excuting the semiparametric model. Qu [11,18] and Taylor [12] used Wavelet function.…”
Section: Introductionmentioning
confidence: 99%
“…[6], You, J, Chen [7] and Eubank [1]). Speckman [8], Hong [9], You, J, Chen [7] and Manzana [10] employed Kernel function in excuting the semiparametric model. Qu [11,18] and Taylor [12] used Wavelet function.…”
Section: Introductionmentioning
confidence: 99%