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  • Search: subject:"Sieve Riesz representer"
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Year of publication
Subject
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Irregular functional 3 Sieve Riesz representer 3 Orthonormal series long run variance estimation 2 Pre-asymptotic variance 2 Asymptotic normality 1 Bootstrap 1 Estimation theory 1 F distribution 1 FF distribution 1 Nichtparametrisches Verfahren 1 Nonlinear nonparametric instrumental variables 1 Nonparametric statistics 1 Penalized sieve minimum distance 1 Schätztheorie 1 Sieve M estimation 1 Sieve MM estimation 1 Sieve quasi likelihood ratio 1 Sieve variance estimator 1 Time series analysis 1 Zeitreihenanalyse 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Chen, Xiaohong 3 Liao, Zhipeng 2 Sun, Yixiao 2 Pouzo, Demian 1
Institution
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Cowles Foundation for Research in Economics, Yale University 1
Published in...
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Cowles Foundation Discussion Papers 1 Journal of Econometrics 1 Journal of econometrics 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models
Chen, Xiaohong; Pouzo, Demian - Cowles Foundation for Research in Economics, Yale University - 2013
This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals. These models belong to the difficult (nonlinear) ill-posed inverse problems with unknown operators, and include all of the (nonlinear) nonparametric...
Persistent link: https://www.econbiz.de/10010895693
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Sieve inference on possibly misspecified semi-nonparametric time series models
Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao - In: Journal of Econometrics 178 (2014) P3, pp. 639-658
This paper establishes the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi-nonparametric time series models. We show that, even when the sieve score process is not a martingale difference sequence, the asymptotic variance in the case of irregular...
Persistent link: https://www.econbiz.de/10011052270
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Sieve inference on possibly misspecified semi-nonparametric time series models
Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao - In: Journal of econometrics 178 (2014) 1, pp. 639-658
Persistent link: https://www.econbiz.de/10010257367
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