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).
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References
Chang, D. S. and Chang, M. R. (1990). Hypothesis testing in stochastic regression models, Tech. Report, National Tsing Hua University.
Cheng, M. I. and Chang, D. S. (1990). A note on stochastic regression model with heteroscedastic disturbances, Tech. Report, National Tsing Hua University.
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Lai, T. L. and Wei, C. Z. (1982). Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems,Ann. Statist.,10, 154–166.
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Supported by the National Science Council Grant No. 810208M763 at National Tsing Hua University.
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Chang, DS., Lin, GC. Stochastic regression model with heteroscedastic disturbance. Ann Inst Stat Math 47, 351–369 (1995). https://doi.org/10.1007/BF00773467
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DOI: https://doi.org/10.1007/BF00773467