Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry
Bryan W. Brown and
Douglas Hodgson ()
Econometrics Journal, 2007, vol. 10, issue 1, 35-48
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. Copyright Royal Economic Society 2007
References: Add references at CitEc
Citations View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00198.x link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:10:y:2007:i:1:p:35-48
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().