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A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
Ackerberg, Daniel A. - 2011
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...
Persistent link: https://www.econbiz.de/10013124713
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Optimal Sup-Norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation
Chen, Xiaohong; Christensen, Timothy - 2015
instrumental variables (NPIV) estimation of the structural function h_0 and its derivatives. Second, we show that a computationally … functionals in nonparametric demand estimation when prices, and possibly incomes, are endogenous. The second is to establish the …
Persistent link: https://www.econbiz.de/10014136704
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Semiparametric estimation of the bid-ask spread in extended roll models
Chen, Xiaohong; Linton, Oliver; Schneeberger, Stefan; … - In: Journal of econometrics 208 (2019) 1, pp. 160-178
Persistent link: https://www.econbiz.de/10012139826
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Identification and inference of nonlinear models using two samples with arbitrary measurement errors
Chen, Xiaohong (contributor); Hu, Yingyao (contributor) - 2006
Persistent link: https://www.econbiz.de/10003461451
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A practical asymptotic variance estimator for two-step semiparametric estimators
Ackerberg, Daniel A.; Chen, Xiaohong; Hahn, Jinyong - 2010 - Final Version: July, 2010
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...
Persistent link: https://www.econbiz.de/10009230390
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A practical asymptotic variance estimator for two-step semiparametric estimators
Ackerberg, Daniel A.; Chen, Xiaohong; Hahn, Jinyong - In: The review of economics and statistics 94 (2012) 2, pp. 481-498
Persistent link: https://www.econbiz.de/10009660727
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Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression
Chen, Xiaohong - 2017
) estimation and inference on a structural function h<sub>0</sub> and its functionals. First, we derive sup-norm convergence rates …
Persistent link: https://www.econbiz.de/10012963056
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Identification and Inference of Nonlinear Models Using Two Samples with Aribrary Measurement Errors
Chen, Xiaohong - 2006
are independent and the latent nonlinear model is parameterized, we propose sieve quasi maximum likelihood estimation (MLE …
Persistent link: https://www.econbiz.de/10012779138
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Sieve quasi likelihood ratio inference on semi/nonparametric conditional moment models
Chen, Xiaohong; Pouzo, Demian - 2013
Persistent link: https://www.econbiz.de/10009746488
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Sieve Quasi Likelihood Ratio Inference on Semi/Nonparametric Conditional Moment Models
Chen, Xiaohong - 2017
This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals. These models belong to the difficult (nonlinear) ill-posed inverse problems with unknown operators, and include all of the (nonlinear) nonparametric...
Persistent link: https://www.econbiz.de/10012974315