Computational and statistical efficiency of semiparametric gls estimators |
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| Authors: | Joel L. Horowitz George R. Neumann |
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| Affiliation: | Department of Economic, University of Iowa , Lowa, Lowa |
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| Abstract: | In this note, we report a dramatic improvement in the computational efficiency of semiparametric generalized least squares(SGLS) estimation. Computation of SGLS estimates no longer presents serious problems with data sets of moderate size. We also correct a numerical error in the standard errors of the SGLS estimates reported in our recent paper in this journal (Horowitz and Neumann, 1987). The corrected standard errors of SGLS are comparable to those we reported for quantile estimates. |
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| Keywords: | semiparametric estimation distribution-free estimation censored regression model duration analysis |
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