Semiparametric Efficiency Bounds in Dynamic Non-linear Systems Under Elliptical Symmetry  

Oleh:

Brown, Bryan W. ; Hodgson, Douglas J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 10 no. 1 (2007), page 35-48.
Topik: efficiency; simultaneous equations; non - normality; time series; multivariate GARCH
Fulltext: 35.pdf (196.31KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We analyze semiparametric efficient estimation of non - linear simultaneous equation models in a time series context and derive a semiparametric efficiency bound for estimation of the parameters when the errors are i. i. d. from an unknown elliptically symmetric density. We derive the bound in the case of errors that are elliptically symmetric conditional on predetermined variables.

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