Iterative Weighted Semiparametric Least Squares Estimation in Repeated Measurement Partially Linear Regression Models-中国期刊网

摘要 Considerarepeatedmeasurementpartiallylinearregressionmodelwithanunknownvectorparameterβ,anunknownfunctiong(.),andunknownheteroscedasticerrorvariances.Inordertoimprovethesemiparametricgeneralizedleastsquaresestimator(SGLSE)ofβ,weproposeaniterativeweightedsemiparametricleastsquaresestimator(IWSLSE)andshowthatitimprovesupontheSGLSEintermsofasymptoticcovariancematrix.Anadaptiveprocedureisgiventodeterminethenumberofiterations.Wealsoshowthatwhenthenumberofreplicatesislessthanorequaltotwo,theIWSLSEcannotimproveupontheSGLSE.Theseresultsaregeneralizationsofthosein[2]tothecaseofsemiparametricregressions.

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Iterative Weighted Semiparametric Least Squares Estimation in Repeated Measurement Partially Linear Regression Models

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Iterative Weighted Semiparametric Least Squares Estimation in Repeated Measurement Partially Linear Regression Models

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