Asymptotic properties of maximum quasi-likelihood estimator in quasi-likelihood non linear models with stochastic regression

ABSTRACT

In this paper, we establish the asymptotic properties of maximum quasi-likelihood estimator (MQLE) in quasi-likelihood non linear models (QLNMs) with stochastic regression under some mild regular conditions. We also investigate the existence, strong consistency, and asymptotic normality of MQLE in QLNMs with stochastic regression.

KEYWORDS:

• Asymptotic normality
• maximum quasi-likelihood estimator
• quasi-likelihood non linear models with stochastic regression
• strong consistency

Acknowledgments

The authors are thankful to an associate editor and the referees for their valuable comments and suggestions which have improved the paper substantially. This research was fully supported by the National Natural Science Foundation of China (11361013, 11101432, 11171293), the Science and Technology Foundation of Guizhou Province of China ((2008)2249), and Talent Introduction Foundation of Guizhou University of Finance and Economics.