An Introduction to Efficient Estimation for Semiparametric Time Series

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Duration: 3 min 30 s
Description: We illustrate several recent results on efficient estimation for semiparametric time series models with two types of AR(1) models: having independent and centered innovations, and having general and conditionally centered innovations. We consider in particular estimation of the autoregression parameter, the stationary distribution, the innovation distribution, and the stationary density.
Priscilla E. Greenwood; Ursula U. Müller; Wolfgang Wefelmeyer
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