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Adaptive Rules for SeminonparametricEstimators That Achieve AsymptoticNormality

Published online by Cambridge University Press:  11 February 2009

Brian J. Eastwood and
A. Ronald Gallant
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Abstract

In econometrics, seminonparametric (SNP) estimatorsoriginated in the consumer demand literature. TheFourier flexible form is a well-known example. Theidea is to replace the consumer's indirect utilityfunction with a truncated series expansion and thenuse a parametric procedure, such as nonlinearmultivariate regression, to set a confidenceinterval on an elasticity. More recently, SNPestimators have been used in nonlinear time seriesanalysis. A truncated Hermite expansion with an ARCHleading term is used as the conditional density ofthe process. The method of maximum likelihood isused to fit it to data.

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Type
Research Article
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Econometric Theory , Volume 7 , Issue 3 , September 1991, pp. 307 - 340
Copyright
Copyright © Cambridge University Press 1991

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