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Parameter estimation of varying coefficients structural EV model with time series

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Abstract

In this paper, the parameters of a p-dimensional linear structural EV (error-in-variable) model are estimated when the coefficients vary with a real variable and the model error is time series. The adjust weighted least squares (AWLS) method is used to estimate the parameters. It is shown that the estimators are weakly consistent and asymptotically normal, and the optimal convergence rate is also obtained. Simulations study are undertaken to illustrate our AWLSEs have good performance.

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Acknowledgements

The authors wish to thank referees for their many helpful comments and suggestions that greatly improved the paper.

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Authors and Affiliations

  1. School of Mathematics and Statistics, Hubei Normal University, Huangshi, 435002, P. R. China

    Yan Yun Su & Kai Can Li

  2. School of Mathematical Sciences, Capital Normal University, Beijing, 100048, P. R. China

    Heng Jian Cui

Authors
  1. Yan Yun Su
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  2. Heng Jian Cui
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  3. Kai Can Li
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Correspondence to Kai Can Li.

Additional information

Supported by the Educational Commission of Hubei Province of China (Grant No. D20112503), National Natural Science Foundation of China (Grant Nos. 11071022, 11231010 and 11028103) and the foundation of Beijing Center of Mathematics and Information Sciences

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Su, Y.Y., Cui, H.J. & Li, K.C. Parameter estimation of varying coefficients structural EV model with time series. Acta. Math. Sin.-English Ser. 33, 607–619 (2017). https://doi.org/10.1007/s10114-016-3187-6

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  • DOI: https://doi.org/10.1007/s10114-016-3187-6

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