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SEMIPARAMETRIC EFFICIENCY BOUND INTIME-SERIES MODELS FOR CONDITIONALQUANTILES

Published online by Cambridge University Press:  18 August 2009

Ivana Komunjer  and
Quang Vuong
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Abstract

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We derive the semiparametric efficiency bound indynamic models of conditional quantiles under a solestrong mixing assumption. We also provide anexpression of Stein’s (1956) least favorableparametric submodel. Our approach is as follows:First, we construct a fully parametric submodel ofthe semiparametric model defined by the conditionalquantile restriction that contains the datagenerating process. We then compare the asymptoticcovariance matrix of the MLE obtained in thissubmodel with those of the M-estimators for theconditional quantile parameter that are consistentand asymptotically normal. Finally, we show that theminimum asymptotic covariance matrix of this classof M-estimators equals the asymptotic covariancematrix of the parametric submodel MLE. Thus, (i)this parametric submodel is a least favorable one,and (ii) the expression of the semiparametricefficiency bound for the conditional quantileparameter follows.

Information

Type
Research Article
Information
Econometric Theory , Volume 26 , Issue 2 , April 2010 , pp. 383 - 405
Copyright
Copyright © Cambridge University Press 2009

References

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