A bound for estimation in nonlinear time series models by independence testing methods

Andrey Feuerverger

Statistics & Probability Letters, 1988, vol. 6, issue 4, 237-241

Abstract: The bound (19) is derived for the asymptotic efficiency of estimates of the parameter [beta] in the nonlinear time series model (1) when the estimation is based on testing for independence of the estimated residuals from the series past. For intrinsically linear time series models efficiency is attainable regardless of the distribution of the error terms.

Keywords: time; series; analysis; nonlinear; time; series; models; estimation; asymptotic; efficiency; testing; independence (search for similar items in EconPapers)
Date: 1988
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