A bound for estimation in nonlinear time series models by independence testing methods

The bound (19) is derived for the asymptotic efficiency of estimates of the parameter [beta] in the nonlinear time series model (1) when the estimation is based on testing for independence of the estimated residuals from the series past. For intrinsically linear time series models efficiency is attainable regardless of the distribution of the error terms.

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Year of publication:	1988
Authors:	Feuerverger, Andrey
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 6.1988, 4, p. 237-241
Publisher:	Elsevier
Keywords:	time series analysis nonlinear time series models estimation asymptotic efficiency testing independence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254455