Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry

被引：2
|
作者：
Brown, Bryan W. [1 ]
Hodgson, Douglas J.
机构：
[1] Rice Univ, Houston, TX 77251 USA
[2] Univ Quebec, Montreal, PQ H3C 3P8, Canada
来源：
ECONOMETRICS JOURNAL | 2007年 / 10卷 / 01期
关键词：
simultaneous equations; non-normality; time series; multivariate GARCH;
D O I：
10.1111/j.1368-423X.2007.00198.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We analyze semiparametric efficient estimation of non-linear simultaneous equation models in a time series context and derive a semiparametric efficiency bound for estimation of the parameters when the errors are i.i.d. from an unknown elliptically symmetric density. We derive the bound in the case of errors that are elliptically symmetric conditional on predetermined variables.
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页码：35 / 48
页数：14
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