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Introduction à la théorie des bornes d'efficacité semi-paramétriques

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  • Whitney K. Newey

Abstract

As in parametric models, one can define an efficiency bound for estimators in semi-parametric models, which is analogous to the Cramer-Rao bound. This paper surveys the available results: computation of the bound by mean of projection, possibility and construction of semi-parametric estimators, efficient estimation in semi-parametric models. Numerous examples are discussed and a new class of estimators in censored regression models is introduced.

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  • Whitney K. Newey, 1989. "Introduction à la théorie des bornes d'efficacité semi-paramétriques," Annals of Economics and Statistics, GENES, issue 13, pages 1-47.
    • Handle: RePEc:adr:anecst:y:1989:i:13:p:1-47
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