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 of errors that are elliptically symmetric conditional on predetermined variables. Copyright Royal Economic Society 2007

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Year of publication:	2007
Authors:	Brown, Bryan W. ; Hodgson, Douglas J.
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 10.2007, 1, p. 35-48
Publisher:	Royal Economic Society - RES

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005100052