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SECOND ORDER ASYMPTOTIC EFFICIENCY IN APARTLY AUTOREGRESSIVE MODEL
Second order asymptotic efficiency part
2007/8/7
Consider the model X_t=X_{t-l}β + g(U_t)+ ε_t for t ≥ 1. Here g is an unknownfUnction, β is an unknown parameter to be estimated and εt are i.i.d. with mean 0 andvariance σ^2 and U_t are i.i.d. random...