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Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
Chen, Xiaohong; Christensen, Timothy M. - 2014 - Rev.
nonlinear, irregular functionals of the conditional mean function under weak conditions. The results are proved by deriving a …
Persistent link: https://www.econbiz.de/10010458629
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Penalized sieve estimation and inference of semi-nonparametric dynamic models : a selective review
Chen, Xiaohong - 2011
two-step estimators and their consistent variance estimators. Examples from dynamic asset pricing, nonlinear spatial VAR …, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. -- Nonlinear time … ; Semiparametric two-step ; Nonlinear ill-posed inverse ; Mixtures ; Conditional moment restrictions ; Nonparametric endogeneity …
Persistent link: https://www.econbiz.de/10009230387
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Efficient estimation of copula-based semiparametric Markov models
Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009
having strong tail dependence -- Copula ; Tail dependence ; Nonlinear Markov models ; Geometric ergodicity ; Sieve MLE …
Persistent link: https://www.econbiz.de/10003817253
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Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models
Chen, Xiaohong - 2019
This paper considers estimation of semi-nonparametric GARCH filtered copula models in which the individual time series are modelled by semi-nonparametric GARCH and the joint distributions of the multivariate standardized innovations are characterized by parametric copulas with nonparametric...
Persistent link: https://www.econbiz.de/10012857717
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Chapter 76 Large Sample Sieve Estimation of Semi-Nonparametric Models
Chen, Xiaohong - In: Handbook of econometrics : volume 6B, (pp. 5549-5632). 2007
Often researchers find parametric models restrictive and sensitive to deviations from the parametric specifications; semi-nonparametric models are more flexible and robust, but lead to other complications such as introducing infinite-dimensional parameter spaces that may not be compact and the...
Persistent link: https://www.econbiz.de/10014024939
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Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models : A Selective Review
Chen, Xiaohong - 2011
two-step estimators and their consistent variance estimators. Examples from dynamic asset pricing, nonlinear spatial VAR …
Persistent link: https://www.econbiz.de/10013124712
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Sieve Inference on Semi-Nonparametric Time Series Models
Chen, Xiaohong - 2012
The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we...
Persistent link: https://www.econbiz.de/10013110398
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Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation
Chen, Xiaohong; Christensen, Timothy - Cowles Foundation for Research in Economics, Yale University - 2013
non-trivial applications of the sup-norm rates to inference on nonlinear functionals of h_0 under low-level conditions … validity of a sieve score bootstrap for constructing asymptotically exact uniform confidence bands for collections of nonlinear …
Persistent link: https://www.econbiz.de/10011213862
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A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
Ackerberg, Daniel; Chen, Xiaohong; Hahn, Jinyong - In: The Review of Economics and Statistics 94 (2012) 2, pp. 481-498
The goal of this paper is to develop techniques to simplify semiparametric inference. We do this by deriving a number of numerical equivalence results. These illustrate that in many cases, one can obtain estimates of semiparametric variances using standard formulas derived in the well-known...
Persistent link: https://www.econbiz.de/10011010022
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Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators under Weak Dependence and Weak Conditions
Chen, Xiaohong; Christensen, Timothy M. - Cowles Foundation for Research in Economics, Yale University - 2014
nonlinear, irregular functionals of the conditional mean function under weak conditions. The results are proved by deriving a …
Persistent link: https://www.econbiz.de/10011198597