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...

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h0 and its functionals. First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series 2SLS)...

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...

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...

With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a...

We calibrate a standard New Keynesian model with three alternative representations of monetary policy- an optimal timeless rule, a Taylor rule and another with interest rate smoothing- with the aim of testing which if any can match the data according to the method of indirect inference. We find...