Abstract
In this paper an estimator for the general (nonlinear) regression model with random regressors is studied which is based on the Fourier transform of a certain weight function. Consistency and asymptotic normality of the estimator are established and simulation results are presented to illustrate the theoretical ones.
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Supported by the Hungarian National Science Foundation OTKA under Grants No. F 032060/2000 and F 046061/2004 and by the Bolyai Grant of the Hungarian Academy of Sciences.
Received October 2003
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Baran, S. A consistent estimator for nonlinear regression models. Metrika 62, 1–15 (2005). https://doi.org/10.1007/s001840400349
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DOI: https://doi.org/10.1007/s001840400349