We analyze semiparametric efficient estimation of non-linear simultaneous equation models in a time series context and derive a semiparametric efficiency bound for estimation of the parameters when the errors are i.i.d. from an unknown elliptically symmetric density. We derive the bound in the...

The construction of prediction intervals and regions and their probability content for nonlinear systems with nonparametric disturbances is considered. The semiparametric efficiency bound for estimating the probability content of a known interval (region) and estimators that attain the bound are...