1. School of Mathematics and Statistics, Hubei Normal University, Huangshi 435002, P. R. China;2. School of Mathematical Sciences, Capital Normal University, Beijing 100048, P. R. China
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.