This paper studies the two-step sieve M estimation of general semi/nonparametric models, where the second step involves sieve estimation of unknown functions that may use the nonparametric estimates from the first step as inputs, and the parameters of interest are functionals of unknown...

We examine properties of the LM test of overdispersion when the alternative is characterized by arbitrary correlated random effects. We first derive a result that a natural test to detect such arbitrary correlated random effects would take the form of the test of conditional moment restriction,...

We show the usefulness of the path-derivative calculations that were introduced in econometrics by Newey (1994) for multi-step semi-parametric estimators. These estimators estimate a finite-dimensional parameter using moment conditions that depend on nonparametric regressions on observed and...

We consider nonlinear parametric models with an independent variable that is measured with error. The measurement error can be correlated with the true value, i.e., the measurement error is allowed to be nonclassical. We propose a control variable estimator for the parameters of interest. The...