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Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model

Asymptotically efficient estimates for the multiple equations nonlinear regression model are obtained in the presence of heteroskedasticity of unknown form. The proposed estimator is a generalized least squares based on nonparametric nearest neighbor estimates of the conditional variance matrices. Some Monte Carlo experiments are reported.
Year of publication:
1992
Authors: Delgado, Miguel A.
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 8.1992, 02, p. 203-222
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008739932
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