Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model

Miguel Delgado ()

Econometric Theory, 1992, vol. 8, issue 2, 203-222

Abstract: Asymptotically efficient estimates for the multiple equations nonlinear regression model are obtained in the presence of heteroskedasticity of unknown form. The proposed estimator is a generalized least squares based on nonparametric nearest neighbor estimates of the conditional variance matrices. Some Monte Carlo experiments are reported.

Date: 1992
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