EconPapers    
Economics at your fingertips  
 

The Efficiency Gap

Timo Dimitriadis, Tobias Fissler and Johanna Ziegel

Papers from arXiv.org

Abstract: Parameter estimation via M- and Z-estimation is equally powerful in semiparametric models for one-dimensional functionals due to a one-to-one relation between corresponding loss and identification functions via integration and differentiation. For multivariate functionals such as multiple moments, quantiles, or the pair (Value at Risk, Expected Shortfall), this one-to-one relation fails and not every identification function possesses an antiderivative. The most important implication is an efficiency gap: The most efficient Z-estimator often outperforms the most efficient M-estimator. We theoretically establish this phenomenon for multiple quantiles at different levels and for the pair (Value at Risk, Expected Shortfall), and illustrate the gap numerically. Our results further give guidance for pseudo-efficient M-estimation for semiparametric models of the Value at Risk and Expected Shortfall.

Date: 2020-10, Revised 2022-09
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/2010.14146 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2010.14146

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2022-09-07
Handle: RePEc:arx:papers:2010.14146