A New Kind of Asymptotic Quasi‐Score Estimating Function

Yan‐Xia Lin

Scandinavian Journal of Statistics, 2000, vol. 27, issue 1, 97-109

Abstract: A new definition of asymptotic quasi‐score sequence of estimating functions is given and studied. The relationship between asymptotic quasi‐likelihood and quasi‐likelihood estimates is investigated. A new practical approach for obtaining a good estimate of θ in the model yt = ft(θ) + mt without any prior knowledge on the nature of E(m2t|Ft−1) is suggested, where ft is a predictable process and mt is a martingale difference process. Two examples are used to show that the approach is practicable.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:27:y:2000:i:1:p:97-109

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