Characterization of the asymptotic distribution of semiparametric M-estimators

Arbeitspapier

This paper develops a concrete formula for the asymptotic distribution of two-step, possibly non-smooth semiparametric M-estimators under general misspecification. Our regularity conditions are relatively straightforward to verify and also weaker than those available in the literature. The first-stage nonparametric estimation may depend on finite dimensional parameters. We characterize: (1) conditions under which the first-stage estimation of nonparametric components do not affect the asymptotic distribution, (2) conditions under which the asymptotic distribution is affected by the derivatives of the first-stage nonparametric estimator with respect to the finite-dimensional parameters, and (3) conditions under which one can allow non-smooth objective functions. Our framework is illustrated by applying it to three examples: (1) profiled estimation of a single index quantile regression model, (2) semiparametric least squares estimation under model misspecification, and (3) a smoothed matching estimator.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: cemmap working paper ; No. CWP15/06

Klassifikation und Themen

• Klassifikation: Wirtschaft

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ichimura, Hidehiko ; Lee, Sokbae
• Ereignis: Veröffentlichung
• (wer): Centre for Microdata Methods and Practice (cemmap)
• (wo): London
• (wann): 2006

Weitere Informationen

• DOI: doi:10.1920/wp.cem.2006.1506
• Handle: http://hdl.handle.net/10419/79377
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ