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Efficient Semiparametric Estimation of Expectations in Dynamic Nonlinear Systems

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  • Jeon, Byung M.

    (Rice U)

  • Brown, Bryan
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    Abstract

    Semiparametric estimation of the expectations of a general class of dynamic functions is considered. Such expectation functionals that are of interest for dynamic models are one- and multi-period ahead forecasting functions, distribution functions, and covariance matrices. The semiparametric efficiency bound for this problem is established and an estimator, which attains the bound is developed. The explicit form of the semiparmetric efficient expectation estimator is worked out for several explicit assumptions regarding the degree of dependence between the predetermined variables and the disturbances of the model. Under the assumption of independence, the one- and multi-period ahead residual-based predictors proposed by Brown and Mariano (1989) are shown to be semiparametric efficient. Under unconditional mean zero assumption, we propose an improved heteroskedastic autocorrelation consistent estimator.

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    File URL: http://www.ruf.rice.edu/~econ/papers/2001papers/09Jeon.pdf
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    Bibliographic Info

    Paper provided by Rice University, Department of Economics in its series Working Papers with number 2001-09.

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    Date of creation: Jan 2001
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    Handle: RePEc:ecl:riceco:2001-09

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Brown, Bryan W & Maital, Shlomo, 1981. "What Do Economists Know? An Empirical Study of Experts' Expectations," Econometrica, Econometric Society, vol. 49(2), pages 491-504, March.
    2. Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-67, July.
    3. Back, Kerry & Brown, David P, 1993. "Implied Probabilities in GMM Estimators," Econometrica, Econometric Society, vol. 61(4), pages 971-75, July.
    4. Brown, Bryan W. & Mariano, Roberto S., 1989. "Predictors in Dynamic Nonlinear Models: Large-Sample Behavior," Econometric Theory, Cambridge University Press, vol. 5(03), pages 430-452, December.
    5. Bryan W. Brown & Douglas J. Hodgson, 2007. "Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 35-48, 03.
    6. Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, vol. 52(2), pages 321-43, March.
    7. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
    8. Bryan W. Brown & Whitney K. Newey, 1998. "Efficient Semiparametric Estimation of Expectations," Econometrica, Econometric Society, vol. 66(2), pages 453-464, March.
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    Cited by:
    1. Park, B.U. & Sickles, R.C. & Simar, L., 2000. "Semiparametric Efficient Estimation of AR(1) Panel Data Models," Papers 0020, Catholique de Louvain - Institut de statistique.

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