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Asymptotics of the signed-rank estimator under dependent observations

Authors
Journal
Journal of Statistical Planning and Inference
0378-3758
Publisher
Elsevier
Volume
146
Identifiers
DOI: 10.1016/j.jspi.2013.09.009
Keywords
  • Signed-Rank Norm
  • Strong Consistency
  • Asymptotic Normality
  • Stochastic Mixing Errors
Disciplines
  • Economics
  • Mathematics

Abstract

Abstract In this paper, we consider a signed-rank estimator of nonlinear regression coefficients under stochastic errors. These errors include a wide array of applications in economic literature such as serial correlation, heteroscedasticity, autoregression, etc. General conditions for strong consistency and T-asymptotic normality of the resulting estimator are provided.

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