ASYMPTOTIC NORMALITY OF SOME ESTIMATORS IN A FIXED-DESIGN SEMIPARAMETRIC REGRESSION MODEL WITH LINEAR TIME SERIES ERRORS

Consider a semiparametric regression model with linear time series errors Yk = x'kβ g(tk) εk, 1 < k < n, where Yk's are responses, xk = (xk1,xk2,..... ,xkp)' and tk ∈T ∪R are fixed design points, β= (β1, β2, ....., βp)' is an unknown parameter vector, g(.) is an unknown bounded real-valued function defined on a compact subset T of the real line R, and εk is a linear process given by εk = ∑j=0∞j(?)ek-j,(?)= 1, where , are i.i.d. random variables. In this paper we establish the asymptotic normality of the least squares estimator of β, a smooth estimator of g(.), and estimators of the autocovariance and autocorrelation functions of the linear process εk.