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Abstract Details
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Activity Number:
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346
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Type:
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Contributed
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Date/Time:
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Tuesday, August 2, 2011 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #301024 |
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Title:
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The Efficiency of the Second-Order Nonlinear Least Squares Estimator and Its Extension
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Author(s):
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Mi Jeong Kim*+
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Companies:
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Texas A & M University
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Address:
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Department of Statistics, College Station, TX, 77843,
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Keywords:
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Second-order least squares estimator ;
heteroscedasticity ;
moments ;
semiparametric methods
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Abstract:
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We revisit the second-order nonlinear least square estimator proposed in Wang and Leblanc (2008) and show that the estimator reaches the asymptotic optimality concerning the estimation variability. Using a fully semiparametric approach, we further modify and extend the method to the heteroscedastic error models and propose a semiparametric efficient estimator in this more general setting. Numerical results are provided to support the results and illustrate the finite sample performance of the proposed estimator.
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Authors who are presenting talks have a * after their name.
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