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Abstract
The efficient instruments for Method of Moments estimation of nonlinear models are often of unknown or intractable functional form. Existing semiparametric results on this are geared to situations either of random sampling or limited forms of time dependence. This paper considers a popular empirical example from the econometrics time series literature to illustrate that a substantial efficiency gain is possible using a semiparametric approach.
Université Laval and University of Virginia. The results in this paper were presented at the Sixth World Congress of the Econometric Society, Barcelona, 1990. The author would like to thank a referee, an Associate Editor and the Editor for their comments as well as participants at workshops at the Universities of Toronto, Windsor and California-Riverside and the 1990 meeting of the canadian Econometrics Study Group at the University of Guelph. The research was funded by the SSHRCC
Université Laval and University of Virginia. The results in this paper were presented at the Sixth World Congress of the Econometric Society, Barcelona, 1990. The author would like to thank a referee, an Associate Editor and the Editor for their comments as well as participants at workshops at the Universities of Toronto, Windsor and California-Riverside and the 1990 meeting of the canadian Econometrics Study Group at the University of Guelph. The research was funded by the SSHRCC
Notes
Université Laval and University of Virginia. The results in this paper were presented at the Sixth World Congress of the Econometric Society, Barcelona, 1990. The author would like to thank a referee, an Associate Editor and the Editor for their comments as well as participants at workshops at the Universities of Toronto, Windsor and California-Riverside and the 1990 meeting of the canadian Econometrics Study Group at the University of Guelph. The research was funded by the SSHRCC