A RANDOM LINEAR FUNCTIONAL-APPROACH TO EFFICIENCY BOUNDS

Authors
HOLLY A
Citation
A. Holly, A RANDOM LINEAR FUNCTIONAL-APPROACH TO EFFICIENCY BOUNDS, Journal of econometrics, 65(1), 1995, pp. 235-261
Citations number
22
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
65
Issue
1
Year of publication
1995
Pages
235 - 261
Database
ISI
SICI code
0304-4076(1995)65:1<235:ARLFTE>2.0.ZU;2-I
Abstract
This paper suggests a method for obtaining efficiency bounds in models containing either only infinite-dimensional parameters or both finite - and infinite-dimensional parameters (semiparametric models). The met hod is based on a theory of random linear functionals applied to the g radient of the log-likelihood functional and is illustrated by computi ng the lower bound for Cox's regression model.