ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS
研究了Pagan和Ullah(1988)及Pagan和Hong(1991)提出的半参数估计量在风险项非参数设定下的渐近性质，证明其一致性和渐近正态分布，并应用于美元对英镑、法郎和日元的汇率风险溢价分析。
This paper studies the asymptotic properties of the semiparametric estimator considered by Pagan and Ullah (1988) and Pagan and Hong (1991) for models with risk terms. We show that when the risk term is nonparametrically specified, the estimator with generated regressors suggested by Pagan and Ullah (1988) and Pagan and Hong (1991) is -consistent and has an asymptotic normal distribution. The result is then applied to analyzing risk premium for the U.S. dollar against the British pound, the French franc and the Japanese yen exchange markets for monthly data covering the period 1976:1 to 1992:8.