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Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables

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  • Chanda, Kamal C.

Abstract

We consider a class of generalized M(GM)-estimators for the autoregressive parameter in a linear Markov model with errors in variables. We show, under some minimal regularity assumptions, that these estimators have almost sure representations of the Bahadur-Kiefer type and consequently they are consistent and asymptotically normal.

Suggested Citation

  • Chanda, Kamal C., 1999. "Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables," Statistics & Probability Letters, Elsevier, vol. 42(4), pages 401-408, May.
    • Handle: RePEc:eee:stapro:v:42:y:1999:i:4:p:401-408
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    References listed on IDEAS

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    1. Robinson, P. M., 1986. "On the errors-in-variables problem for time series," Journal of Multivariate Analysis, Elsevier, vol. 19(2), pages 240-250, August.
    2. Trognon, Alain, 1989. "Estimation of an Error in Variable Autoregressive Model," Econometric Theory, Cambridge University Press, vol. 5(02), pages 328-331, August.
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