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Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality

  • Eastwood, Brian J.
  • Gallant, A. Ronald

In econometrics, seminonparametric (SNP) estimators originated in the consumer demand literature. The Fourier flexible form is a well-known example. The idea is to replace the consumer's indirect utility function with a truncated series expansion and then use a parametric procedure, such as nonlinear multivariate regression, to set a confidence interval on an elasticity. More recently, SNP estimators have been used in nonlinear time series analysis. A truncated Hermite expansion with an ARCH leading term is used as the conditional density of the process. The method of maximum likelihood is used to fit it to data.

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

Volume (Year): 7 (1991)
Issue (Month): 03 (September)
Pages: 307-340

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Handle: RePEc:cup:etheor:v:7:y:1991:i:03:p:307-340_00
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