Achieving Semiparametric Efficiency Bounds in Left-Censored Duration Models

Econometrica ◽  
1996 ◽  
Vol 64 (2) ◽  
pp. 439 ◽  
Author(s):  
Fumihiro Goto
Keyword(s):  
Duration Models ◽  
Semiparametric Efficiency

SEMIPARAMETRIC EFFICIENCY BOUNDS FOR CONDITIONAL MOMENT RESTRICTION MODELS WITH DIFFERENT CONDITIONING VARIABLES

2015 ◽  
Vol 32 (4) ◽  
pp. 917-946 ◽  
Author(s):  
Marian Hristache ◽  
Valentin Patilea
Keyword(s):  
Regression Models ◽  
Supply And Demand ◽  
Simultaneous Equations ◽  
Conditional Moment ◽  
Efficient Score ◽  
Semiparametric Efficiency ◽  
Regression Quantile ◽  
New Applications ◽  
Theoretical Results ◽  
Moment Restriction

This paper addresses the problem of semiparametric efficiency bounds for conditional moment restriction models with different conditioning variables. We characterize such an efficiency bound, that in general is not explicit, as a limit of explicit efficiency bounds for a decreasing sequence of unconditional (marginal) moment restriction models. An iterative procedure for approximating the efficient score when this is not explicit is provided. Our theoretical results provide new insight for the theory of semiparametric efficiency bounds literature and open the door to new applications. In particular, we investigate a class of regression-like (mean regression, quantile regression,…) models with missing data, an example of a supply and demand simultaneous equations model and a generalized bivariate dichotomous model.

scholarly journals Nonparametric specification tests for conditional duration models

2005 ◽  
Vol 127 (1) ◽  
pp. 35-68 ◽  
Author(s):  
Marcelo Fernandes ◽  
Joachim Grammig
Keyword(s):  
Duration Models ◽  
Specification Tests
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