Moment restriction-based econometric modelling is a broad class which includes the parametric, semiparametric and nonparametric approaches. Moments and conditional moments themselves are nonparametric quantities. If a model is specified in part up to some finite dimensional parameters, this will...

Moment restriction-based econometric modelling is a broad class which includes the parametric, semiparametric and nonparametric approaches. Moments and conditional moments themselves are nonparametric quantities. If a model is specified in part up to some finite dimensional parameters, this will...

Data in econometrics are, as a rule, non-experimental and hence we have to use the same data set to select the model and also to estimate the parameters in the selected model.In standard applied econometrics practice, however, one reports zero bias and some variance of the (pretest) estimators...

AMS classifications: 62G10; 62G20; 62G30;

This paper offers an alternative technique to derive the limiting distribution of residual-based statistics or, more general, the limiting distribution of statistics with estimated nuisance parameters.This technique allows us to unify many known results on two-stage estimators and tests and we...