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

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Author Info
Bryan W. Brown
Douglas J. Hodgson

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Abstract

We analyze semiparametric efficient estimation of non-linear simultaneous equation models in a time series context and derive a semiparametric efficiency bound for estimation of the parameters when the errors are i.i.d. from an unknown elliptically symmetric density. We derive the bound in the case of errors that are elliptically symmetric conditional on predetermined variables. Copyright Royal Economic Society 2007

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00198.x
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Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 10 (2007)
Issue (Month): 1 (03)
Pages: 35-48
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Handle: RePEc:ect:emjrnl:v:10:y:2007:i:1:p:35-48

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