Consider estimation of a Euclidean parameter 6 in a semiparametric model parametrized by
6 and an infinite-dimensional muisance parameter g. To study what is best possible …

This dissertation consists of two chapters, both contributing to the field of econometrics. The
contributions are mostly in the areas of estimation theory, as both chapters develop new …

In this paper we consider efficient estimation in semiparametric ACD models. We consider a
suite of model specifications that impose less and less structure. We calculate the …

j (x)j jxj Page 1 EFFICIENT ESTIMATION IN A SEMIPARAMETRIC AUTOREGRESSIVE MODEL
Anton Schick Department of Mathematical Sciences Binghamton University Binghamton, NY …

We introduce a semiparametric procedure for more efficient prediction of a strictly
stationaryprocess admitting an ARMA representation. The procedure is based on the …

The thesis is concerned with the formulation and estimation of the autoregressive-moving
average (ARMA) model, and its application to econometrics. Chapter 1 considers the origin …

Parametric time series models provide powerful tools for analyzing time series data when
the models are correctly specified. However, any parametric models are at best only an …

In this survey we discuss the application of some nonparametric techniques to time series.
There is indeed a long tradition in applying nonparametric methods in time series analysis …

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 …

The class of ARMA models developed in the previous chapter relies on the assumption that
the underlying process is weakly stationary, thus implying that the mean, variance and …