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Semiparametric Efficiency Bound In Time-Series Models For Conditional Quantiles

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  • Komunjer, Ivana
  • Vuong, Quang

Abstract

We derive the semiparametric efficiency bound in dynamic models of conditional quantiles under a sole strong mixing assumption. We also provide an expression of Stein’s (1956) least favorable parametric submodel. Our approach is as follows: First, we construct a fully parametric submodel of the semiparametric model defined by the conditional quantile restriction that contains the data generating process. We then compare the asymptotic covariance matrix of the MLE obtained in this submodel with those of the M-estimators for the conditional quantile parameter that are consistent and asymptotically normal. Finally, we show that the minimum asymptotic covariance matrix of this class of M-estimators equals the asymptotic covariance matrix of the parametric submodel MLE. Thus, (i) this parametric submodel is a least favorable one, and (ii) the expression of the semiparametric efficiency bound for the conditional quantile parameter follows.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 26 (2010)
Issue (Month): 02 (April)
Pages: 383-405

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Handle: RePEc:cup:etheor:v:26:y:2010:i:02:p:383-405_10

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Cited by:
  1. Antonio Galvao & Kengo Kato & Gabriel Montes-Rojas & Jose Olmo, 2014. "Testing linearity against threshold effects: uniform inference in quantile regression," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 66(2), pages 413-439, April.
  2. Komunjer, Ivana & Ragusa, Giuseppe, 2009. "Existence and Uniqueness of Semiparametric Projections," University of California at San Diego, Economics Working Paper Series qt0wg3j51c, Department of Economics, UC San Diego.

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