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Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals
Chen, Xiaohong - 2011
This paper studies nonparametric estimation of conditional moment restrictions in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized...
Persistent link: https://www.econbiz.de/10013130682
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Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals
Chen, Xiaohong - 2009
simple weighted bootstrap procedure consistently estimates the limiting distribution of the PSMD theta\hat; (3) the …
Persistent link: https://www.econbiz.de/10012766233
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Sieve Quasi Likelihood Ratio Inference on Semi/Nonparametric Conditional Moment Models
Chen, Xiaohong - 2017
-optimally weighted SQLR statistic; (5) the consistency of the nonparametric bootstrap and the weighted bootstrap (possibly non …
Persistent link: https://www.econbiz.de/10012974315
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Breakdown Point Theory for Implied Probability Bootstrap
Camponovo, Lorenzo; Otsu, Taisuke - 2011
This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the … uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take … arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties …
Persistent link: https://www.econbiz.de/10014183251
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Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals
Chen, Xiaohong; Pouzo, Demian - 2009
This paper studies nonparametric estimation of conditional moment models in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized sieve...
Persistent link: https://www.econbiz.de/10014206204
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Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments
Chen, Xiaohong; Pouzo, Demian - 2009
This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...
Persistent link: https://www.econbiz.de/10014218576
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Robustness of Bootstrap in Instrumental Variable Regression
Camponovo, Lorenzo - 2011
This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular …, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics … by applying the breakdown point theory, which focuses on behaviors of the bootstrap quantiles when outliers take …
Persistent link: https://www.econbiz.de/10013126073
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A Simple Adjustment for Bandwidth Snooping
Armstrong, Timothy - 2017
Kernel-based estimators such as local polynomial estimators in regression discontinuity designs are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence...
Persistent link: https://www.econbiz.de/10012952734
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Simple and Honest Confidence Intervals in Nonparametric Regression
Armstrong, Timothy - 2018
We consider the problem of constructing honest confidence intervals (CIs) for a scalar parameter of interest, such as the regression discontinuity parameter, in nonparametric regression based on kernel or local polynomial estimators. To ensure that our CIs are honest, we derive novel critical...
Persistent link: https://www.econbiz.de/10012911764
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Bootstrapping I(1) Data
Phillips, Peter C. B. - 2009
A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis … (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are …
Persistent link: https://www.econbiz.de/10012765275