Efficient Semiparametric Prediction Intervals
The construction of prediction intervals and regions and their probability content for nonlinear systems with nonparametric disturbances is considered. The semiparametric efficiency bound for estimating the probability content of a known interval (region) and estimators that attain the bound are developed. Semiparametric efficient estimation of optimal prediction intervals (regions) which either (i) maximize probability content given interval length (region area) or (ii) maximize interval length (region area) given probability content is studied. The estimated probability content of (i) is found to have the same limiting behavior as if the interval (region) were known with certainty and hence attains the semiparametric efficiency bound. Further, the estimated probability of the estimated interval (region) approximates the true coverage probability to order root-n for (i) but order smaller than root-n for (ii). A Monte Carlo experiment is conducted to compare the new predictors to competitors.
|Date of creation:||01 Aug 2000|
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
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.:
- Newey, Whitney K, 1994.
"The Asymptotic Variance of Semiparametric Estimators,"
Econometric Society, vol. 62(6), pages 1349-1382, November.
- Newey, W.K., 1989. "The Asymptotic Variance Of Semiparametric Estimotors," Papers 346, Princeton, Department of Economics - Econometric Research Program.
- Newey, W.K., 1991. "The Asymptotic Variance of Semiparametric Estimators," Working papers 583, Massachusetts Institute of Technology (MIT), Department of Economics.
- 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.
- 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 321-343, March.
- Mariano, Roberto S & Brown, Bryan W, 1983. "Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 523-536, October. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ecm:wc2000:1633. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.