ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS
From MaRDI portal
Publication:4471133
DOI10.1081/ETC-100106999zbMath1077.62542MaRDI QIDQ4471133
Publication date: 18 June 2004
Published in: Econometric Reviews (Search for Journal in Brave)
62P20: Applications of statistics to economics
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
Cites Work
- Semiparametric estimation of censored selection models with a nonparametric selection mechanism
- Estimation of some partially specified nonlinear models
- On the root-\(n\)-consistent semiparametric estimation of partially linear models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Econometric Issues in the Analysis of Regressions with Generated Regressors
- On U-statistics and v. mise? statistics for weakly dependent processes
- Root-N-Consistent Semiparametric Regression
- Root-n-consistent estimation of partially linear time series models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Limiting behavior of U-statistics for stationary, absolutely regular processes
- Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
- The Asymptotic Variance of Semiparametric Estimators
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Martingale Central Limit Theorems