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Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry

Brown, Bryan W.; Hodgson, Douglas J. - In: The econometrics journal 10 (2007) 1, pp. 35-48

Persistent link: https://www.econbiz.de/10003451746

Efficient Semiparametric Prediction Intervals

Brown, Bryan W. - Econometric Society - 2000

The construction of prediction intervals and regions and their probability content for nonlinear systems with nonparametric disturbances is considered. The semiparametric efficiency bound for estimating the probability content of a known interval (region) and estimators that attain the bound are...

Persistent link: https://www.econbiz.de/10005328624

The identification problem in simultaneous equation models with identities

Brown, Bryan W. - In: International economic review 26 (1985) 1, pp. 45-66

Persistent link: https://www.econbiz.de/10001951305

The identification problem in systems nonlinear in the variables

Brown, Bryan W. - In: Econometrica : journal of the Econometric Society, an … 51 (1983) 1, pp. 175-196

Persistent link: https://www.econbiz.de/10001951313

Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form

Hodgson, Douglas J. - In: Econometric reviews 19 (2000) 2, pp. 175-206

Persistent link: https://www.econbiz.de/10001483703

Adaptive estimation of cointegrating regressions with ARMA errors

Hodgson, Douglas J. - 1995

Persistent link: https://www.econbiz.de/10000917545

Adaptive estimation of cointegrated models : simulation evidence and an application to the forward exchange market

Hodgson, Douglas J. - 1995

Persistent link: https://www.econbiz.de/10000917546

Adaptive estimation of error correction models

Hodgson, Douglas J. - 1995

Persistent link: https://www.econbiz.de/10000917548

Semiparametric efficient estimation in time series

Hodgson, Douglas J. - 1997

Persistent link: https://www.econbiz.de/10000977454

Robust semiparametric estimation in the presence of heterogeneity of unknown form

Hodgson, Douglas J. - 1996

Persistent link: https://www.econbiz.de/10000945386

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