Arbeitspapier
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components (θ) and unknown functions (h) of endogenous variables. We show that: (1) the penalized sieve minimum distance(PSMD) estimator (ˆθ,ˆh) can simultaneously achieve root-n asymptotic normality of ˆθ and nonparametric optimal convergence rate of h, allowing for noncompact function parameter spaces; (2) a simple weighted bootstrap procedure consistently estimates the limiting distribution of the PSMD ˆθ ; (3) the semiparametric efficiency bound formula of Ai and Chen (2003) remains valid for conditional models with nonsmooth residuals, and the optimally weighted PSMD estimator achieves the bound; (4) the centered, profiled optimally weighted PSMD criterion is asymptotically chi-square distributed. We illustrate our theories using a partially linear quantile instrumental variables (IV) regression, a Monte Carlo study, and an empirical estimation of the shape-invariant quantile IV Engel curves.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP20/09
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Penalized sieve minimum distance
Nonsmooth generalized residuals
Nonlinear nonparametric endogeneity
Weighted bootstrap
Semiparametric efficiency
Confidence region
Partially linear quantile IV regression
Shape-invariant quantile IV Engel curves
Nichtparametrisches Verfahren
Bootstrap-Verfahren
Schätztheorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chen, Xiaohong
Pouzo, Demian
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2009
- DOI
-
doi:10.1920/wp.cem.2009.2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chen, Xiaohong
- Pouzo, Demian
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2009
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