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Adaptive Estimation

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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’.

This chapter was originally published in The New Palgrave Dictionary of Economics, 2nd edition, 2008. Edited by Steven N. Durlauf and Lawrence E. Blume

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  1. http://link.springer.com/referencework/10.1057/978-1-349-95121-5

    Douglas G. Steigerwald

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  1. Douglas G. Steigerwald
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    Steigerwald, D.G. (2008). Adaptive Estimation. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_2420-1

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    • DOI: https://doi.org/10.1057/978-1-349-95121-5_2420-1

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    • Publisher Name: Palgrave Macmillan, London

    • Online ISBN: 978-1-349-95121-5

    • eBook Packages: Springer Reference Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences

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