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Persistent link: https://www.econbiz.de/10009746488
This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. There models are often illposed and hence it is...
Persistent link: https://www.econbiz.de/10011282658
For semi/nonparametric conditional moment models containing unknown parametric components θ and unknown functions of endogenous variables (h), Newey and Powell (2003) and Ai and Chen (2003) propose sieve minimum distance (SMD) estimation of (θ, h) and derive the large sample properties. This...
Persistent link: https://www.econbiz.de/10010318487
This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components (θ) and unknown functions (h) of endogenous variables. We show that: (1) the penalized sieve minimum distance(PSMD) estimator (ˆθ,ˆh) can...
Persistent link: https://www.econbiz.de/10010288409
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 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/10003739667
Persistent link: https://www.econbiz.de/10003778347
This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components (Θ) and unknown functions (h)of endogenous variables. We show that: (1) the penalized sieve minimum distance(PSMD) estimator (ˆΘ, ˆh) can...
Persistent link: https://www.econbiz.de/10003869261
Persistent link: https://www.econbiz.de/10003671278
Persistent link: https://www.econbiz.de/10009507934