Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry

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...

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Bibliographic Details
Published in:The econometrics journal 2007-01, Vol.10 (1), p.35-48
Main Authors: Brown, Bryan W., Hodgson, Douglas J.
Format: Article
Language:English
Subjects:
Consistent estimators
Density
Density estimation
Econometric models
Econometrics
Economic efficiency
Economic models
Economic theory
Efficiency
Errors
Estimating techniques
Estimation
Estimators
GARCH models
Mathematical functions
Mathematical independent variables
Mathematical models
Modeling
Multivariate analysis
Multivariate GARCH
Non-linear models
Non-normality
Nonlinear equations
Simultaneous equations
Studies
Time series
Variables
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Description
Summary: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.
ISSN:1368-4221
1368-423X
DOI:10.1111/j.1368-423X.2007.00198.x