ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS

DOI10.1081/ETC-100106999zbMath1077.62542MaRDI QIDQ4471133

Badi H. Baltagi, Q. Li

Publication date: 18 June 2004

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

Risk premium, Exchange market, Semiparametric estimation, square root n-consistency, Asymptotic normality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Cites Work

• Semiparametric estimation of censored selection models with a nonparametric selection mechanism
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• 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

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