We examine the higher order asymptotic properties of semiparametric regression estimators that were obtained by the general MINPIN method described in Andrews (1989, Semiparametric Econometric Models: I. Estimation, Discussion paper 908, Cowles Foundation). We derive an order <italic>n</italic>⁻¹ stochastic...

We construct efficient estimators of the identifiable parameters in a regression model when the errors follow a stationary parametric ARCH(<italic>P</italic>) process. We do not assume a functional form for the conditional density of the errors, but do require that it be symmetric about zero. The estimators of...