Gonzalez-Rivera, Gloria - In: Econometric Reviews 16 (1997) 1, pp. 55-68
In the framework of the Engle-type (G)ARCH models, I demonstrate that there is a family of symmetric and asymmetric density functions for which the asymptotic efficiency of the semiparametric estimator is equal to the asymptotic efficiency of the maximum likelihood estimator. This family of...