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February 2004 Estimation and testing in a partial linear regression model under long-memory dependence
Germán Aneiros-Pérez, Wenceslao González-Manteiga, Philippe Vieu
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Bernoulli 10(1): 49-78 (February 2004). DOI: 10.3150/bj/1077544603

Abstract

We discuss estimation and testing of hypotheses in a partial linear regression model, that is, a regression model where the regression function is the sum of a linear and a nonparametric component. We focus on the case where the covariables and the random noise do not necessarily have summable autocovariance functions, and the estimators and test statistics are based on kernel smoothing. We obtain the bias, variance and asymptotic distribution of both estimators for the parametric and nonparametric parts, as well as the asymptotic distributions of the statistics used, both under the null hypothesis and local alternatives. We thus generalize the results of Speckman and of Beran and Ghosh to the case of general structures for the autocovariance function and complete the results of González-Manteiga and Vilar-Fernández to the case of a partial linear regression model. Simulations and a real data example provide promising results for our tests.

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Germán Aneiros-Pérez. Wenceslao González-Manteiga. Philippe Vieu. "Estimation and testing in a partial linear regression model under long-memory dependence." Bernoulli 10 (1) 49 - 78, February 2004. https://doi.org/10.3150/bj/1077544603

Information

Published: February 2004
First available in Project Euclid: 23 February 2004

zbMATH: 1040.62028
MathSciNet: MR2044593
Digital Object Identifier: 10.3150/bj/1077544603

Rights: Copyright © 2004 Bernoulli Society for Mathematical Statistics and Probability

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Vol.10 • No. 1 • February 2004
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