Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form
AbstractWe consider parametric non-linear regression models with additive innovations which are serially uncorrelated but not necessarily independent, and consider the consequences of maximum likelihood and related one-step iterative estimation when the innovations are treated as being iid from their unconditional density. We find that the estimators' asymptotic covariance matrices will generally differ from those that would obtain if the errors actually were iid, except for the special case of strictly exogenous regressors. One important application of these results is to analysis of the properties of adaptive estimators, which employ nonparametric kernel estimates of the unconditional density of the disturbances in the construction of one-step iterative estimators. In the presence of strictly exogenous regressors, adaptive estimators are found to be asymptotically equivalent to the one-step iterative estimators that use the correct unconditional density. We illustrate our results through a brief Monte Carlo study.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 19 (2000)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.tandfonline.com/LECR20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models,"
Working Paper Series
38-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
- Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics,
Elsevier, vol. 154(1), pages 16-34, January.
- Enrique Sentana, 2009.
"The econometrics of mean-variance efficiency tests: a survey,"
Royal Economic Society, vol. 12(3), pages C65-C101, November.
- Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
- Douglas Hodgson, 2011. "Age–price profiles for Canadian painters at auction," Journal of Cultural Economics, Springer, vol. 35(4), pages 287-308, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.