The asymptotic distribution of one-step Newton-Raphson estimates is established for a regression model with random carriers and heteroscedastic errors under mild conditions. We also include a class of robust estimates deΓΏned as the solution of an implicit equation, such as the MM-estimates.
Asymptotic theory in heteroscedastic nonlinear models
β Scribed by Jun Shao
- Publisher
- Elsevier Science
- Year
- 1990
- Tongue
- English
- Weight
- 597 KB
- Volume
- 10
- Category
- Article
- ISSN
- 0167-7152
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π SIMILAR VOLUMES
This paper is devoted to goodness-of-ΓΏt tests for parametric possibly nonlinear heteroscedastic regression models. The test statistic is constructed using a marked empirical process based on residuals. We investigate the consistency of this test statistic and of the estimators needed to compute it.
The maximum likelihood estimation in a regression model with heteroscedastic errors is considered. When the design matrices in the model are inappropriately specified, the maximum likelihood estimates of the variances of certain observations are found to be zero irrespective of the observed values,