Partially Linear Time Series Models
Previous chapters considered the partially linear models in the framework of independent observations. The independence assumption can be reasonable when data are collected from a human population or certain measurements. However, there are classical data sets such as the sunspot, lynx and the Australian blowfly data where the independence assumption is far from being fulfilled. In addition, recent developments in semiparametric regression have provided a solid foundation for partially time series analysis. In this chapter, we pay attention to partially linear time series models and establish asymptotic results as well as small sample studies.
KeywordsAutoregressive Model Little Square Estimator Semiparametric Regression Canadian Lynx Linear Regressor
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