On multiple regression models with nonstationarity correlated errors
成果类型：
Article
署名作者：
Rao, SS
署名单位：
Ruprecht Karls University Heidelberg
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/91.3.645
发表日期：
2004
页码：
645659
关键词：
摘要：
We consider the estimation of parameters of a multiple regression model with nonstationary errors. We assume the nonstationary errors satisfy a time-dependent autoregressive process and describe a method for estimating the parameters of the regressors and the time-dependent autoregressive parameters. The parameters are rescaled as in nonparametric regression to obtain the asymptotic sampling properties of the estimators. The method is illustrated with an example taken from global temperature anomalies.