Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models

1991/03/01 by Donald W. K. Andrews · 11 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Mathematical functions and polynomials #Functional Equations Stability Results

paper · doi:10.2307/2938259

Abstract

This paper establishes the asymptotic normality of series estimators for nonparametric regression models. Gallant's Fourier flexible form estimators, trigonometric series estimators, and polynomial series estimators are prime examples of the estimators covered by the results. The results apply to a wide variety of estimates in the regression model under consideration, including derivatives and integrals of the regression function. The errors in the model may be homoskedastic or heteroskedastic. The paper also considers series estimators for additive interactive regression, semiparametric regression, and semiparametric index regression models, and shows them to be consistent and asymptotically normal. Copyright 1991 by The Econometric Society.

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