Showing 1 - 10 of 53
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities...
Persistent link: https://www.econbiz.de/10010318716
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the dimensions of the moment restrictions and the parameters diverge along with the sample size. The...
Persistent link: https://www.econbiz.de/10015244850
We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...
Persistent link: https://www.econbiz.de/10010368240
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)...
Persistent link: https://www.econbiz.de/10011941433
This paper makes several important contributions to the literature about non- parametric instrumental variables (NPIV ) estimation and inference on a structural function h0 and functionals of h0 .First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series two-stage...
Persistent link: https://www.econbiz.de/10011995512
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √ n-consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...
Persistent link: https://www.econbiz.de/10010288299
In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...
Persistent link: https://www.econbiz.de/10010288336
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...
Persistent link: https://www.econbiz.de/10010288348
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/10010288447
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the dimensions of the moment restrictions and the parameters diverge along with the sample size. The...
Persistent link: https://www.econbiz.de/10011111343