Stochastic regression model with heteroscedastic disturbance |
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Authors: | Der-Shin Chang Guan-Chyun Lin |
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Institution: | (1) Institute of Statistics, National Tsing Hua University, Hsinchu, Taiwan 30043, R.O.C. |
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Abstract: | This paper discusses some properties of stochastic regression model with continuous form of heteroscedastic disturbance. The strong consistency and asymptotic normality of a generalized weighted least squares estimate will be investigated under certain conditions on the stochastic regressors and errors. More, the linear hypothesis testing problem also be discussed and an example to be demonstrated to reestablish the results of Cheng and Chang (1990, Tech. Report, National Tsing Hua University).Supported by the National Science Council Grant No. 810208M763 at National Tsing Hua University. |
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Keywords: | Stochastic regressors generalized weighted least squares strong consistency asymptotic normality linear hypothesis martingales heteroscedastic disturbance |
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