Efficient Estimation in a Semiparametric Autoregressive Model

@inproceedings{Schick1998EfficientEI,
  title={Efficient Estimation in a Semiparametric Autoregressive Model},
  author={Anton Schick},
  year={1998}
}
This paper constructs eecient estimates of the parameter in the semi-parametric autoregression model X t = X t?1 + (X t?2) + t with a smooth function and independent and identically distributed innovations t with zero means and nite variances. This will be done under the assumptions that jj + lim sup jxj!1 j(x)j jxj < 1 and that the errors have a density with nite Fisher information for location. The former condition guarantees that the process can be chosen to be stationary and ergodic. 
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