Living Reference Work Entry

The New Palgrave Dictionary of Economics

pp 1-4

Date: Latest Version

Adaptive Estimation

  • Douglas G. SteigerwaldAffiliated with

Abstract

Adaptive estimation arises in the context of partially specified models. Partially specified models occur with some frequency in econometrics. For example, a linear regression model in which the error distribution is unknown is a partially specified model. So too are many of the diffusion models employed in empirical finance. One active research area is to understand the conditions under which the lack of full specification does not affect the asymptotic efficiency of the estimator, in which case the estimator is termed ‘adaptive’.

Keywords

Adaptive estimation Kernel estimator Linearized likelihood estimation Maximum likelihood Nonparametric estimation Semiparametric estimation Spline functions

JEL Classifications

C14