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We consider a general non-parametric regression model, where the distribution of the error, given the covariate, is modelled by a conditional distribution function. For the estimation, a kernel ...
Susanne M. Schennach, Nonparametric Regression in the Presence of Measurement Error, Econometric Theory, Vol. 20, No. 6 (Dec., 2004), pp. 1046-1093 ...
Example 8.13: Parameter Estimation for a Regression Model with ARMA Errors Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations ...
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