condition. These results lead to a general framework for inference and model specification testing of extreme conditional value …

penalized sieve minimum distance (SMD) estimator of the unknown functions that are identified via the conditional moment models …, or finite dimensional linear sieves without penalty. Under relatively low-level sufficient conditions, and for both … important applications: root-n asymptotic normality of the plug-in penalized SMD estimator of a weighted average derivative of a …

sieve minimum distance(PSMD) estimator (ˆΘ, ˆh) can simultaneously achieve root-n asymptotic normality of ˆΘ and … and Chen (2003) remains valid for conditional models with nonsmooth residuals, and the optimally weighted PSMD estimator … illustrate our theories using a partially linear quantile instrumental variables (IV) regression, a Monte Carlo study, and an …