Electronic Resource
New York
:
Cambridge University Press
Econometric theory
7 (1991), S. 307-340
ISSN:
0266-4666
Source:
Cambridge Journals Digital Archives
Topics:
Economics
Notes:
In econometrics, seminonparametric (SNP) estimators originated in the consumer demand literature. The Fourier flexible form is a well-known example. The idea is to replace the consumer's indirect utility function with a truncated series expansion and then use a parametric procedure, such as nonlinear multivariate regression, to set a confidence interval on an elasticity. More recently, SNP estimators have been used in nonlinear time series analysis. A truncated Hermite expansion with an ARCH leading term is used as the conditional density of the process. The method of maximum likelihood is used to fit it to data.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1017/S0266466600004497
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