Inference for linear models with dependent errors

• 成果类型: Article
• 署名作者: Zhou, Zhou; Shao, Xiaofeng
• 署名单位: University of Toronto; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/j.1467-9868.2012.01044.x
• 发表日期: 2013
• 页码: 323-343
• 关键词: robust estimation; NONSTATIONARY; estimators; BEHAVIOR

摘要

. The paper is concerned with inference for linear models with fixed regressors and weakly dependent stationary time series errors. Theoretically, we obtain asymptotic normality for the M-estimator of the regression parameter under mild conditions and establish a uniform Bahadur representation for recursive M-estimators. Methodologically, we extend the recently proposed self-normalized approach of Shao from stationary time series to the regression set-up, where the sequence of response variables is typically non-stationary in mean. Since the limiting distribution of the self-normalized statistic depends on the design matrix and its corresponding critical values are case dependent, we develop a simulation-based approach to approximate the critical values consistently. Through a simulation study, we demonstrate favourable finite sample performance of our method in comparison with a block-bootstrap-based approach. Empirical illustrations using two real data sets are also provided.