Robust Semiparametric Estimation in the Presence of Heterogeneity of Unknown Form

Douglas Hodgson ()

RCER Working Papers from University of Rochester - Center for Economic Research (RCER)

Abstract: We show that semiparametric adaptive maximum likelihood estimators have desirable robustness properties when the innivations in a location parameter model are uncorrelated but not necessarily independent. We show that such estimators have asymptotic covariance matrices equal to the inverse of the Fisher information of the unconditional distribution of the data in the presence of general forms of heterogeneity, including conditional dependence in even moments.

Keywords: TIME SERIES; MODELS (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 37 pages
Date: 1996
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:roc:rocher:416

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