Optimal Estimation under Nonstandard Conditions

• Main Authors: PLOBERGER, Werner, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: Bayesian asymptotics; Asymptotic normality; Local asymptotic normality; Locally asymptotic quadratic; Optimality property of MLE; Weak convergence; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1824; https://ink.library.smu.edu.sg/context/soe_research/article/2823/viewcontent/OptimalEstimationNonstandardConditions_2012.pdf
• Institution: Singapore Management University

We analyze optimality properties of maximum likelihood (ML) and other estimators when the problem does not necessarily fall within the locally asymptotically normal (LAN) class, therefore covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series. The c...