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SECOND ORDER ASYMPTOTIC EFFICIENCY IN APARTLY AUTOREGRESSIVE MODEL
Second order asymptotic efficiency part
2007/8/7
Consider the model X_t=X_{t-l}β + g(U_t)+ ε_t for t ≥ 1. Here g is an unknownfUnction, β is an unknown parameter to be estimated and εt are i.i.d. with mean 0 andvariance σ^2 and U_t are i.i.d. random...
ON BAHADUR ASYMPTOTIC EFFICIENCY IN A SEMIPARAMETRIC REGRESSION MODEL
bahadur asymptotic efficiency sendparam
2007/8/7
In this paper, authors consider Bahadur asymptotic efficiency of MLE {\bar β}_{ML} of β, which is an unknown parameter vector in the semiparametric regression model Y_i=X_i~T β + g(T_i) + i, where g i...