The New Palgrave Dictionary of Economics

Living Edition
| Editors: Matias Vernengo, Esteban Perez Caldentey, Barkley J. Rosser Jr

Adaptive Estimation

Living reference work entry


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’.


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

JEL Classifications

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Authors and Affiliations

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