Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model
- 1 June 1992
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 8 (2) , 203-222
- https://doi.org/10.1017/s0266466600012767
Abstract
Asymptotically efficient estimates for the multiple equations nonlinear regression model are obtained in the presence of heteroskedasticity of unknown form. The proposed estimator is a generalized least squares based on nonparametric nearest neighbor estimates of the conditional variance matrices. Some Monte Carlo experiments are reported.Keywords
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