Convergence rates and asymptotic normality for series estimators

DOI10.1016/S0304-4076(97)00011-0zbMATH Open0873.62049OpenAlexW2012455789MaRDI QIDQ1362062FDOQ1362062

Authors: Whitney Newey 

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00011-0

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zbMATH Keywords

asymptotic normalityconvergence ratespolynomial regressionregression splinesnonlinear functionals of series estimatorsseries estimators of conditional expectations

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02) Applications of statistics to economics (62P20)

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• Model averaging by jackknife criterion in models with dependent data
• Rate-optimal estimation for a general class of nonparametric regression models with unknown link functions
• Regressions with Berkson errors in covariates -- a nonparametric approach
• Efficient estimation of varying coefficient seemly unrelated regression model
• Penalized spline estimation in the partially linear model
• Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
• High dimensional semiparametric moment restriction models
• Efficient estimation of a semiparametric partially linear varying coefficient model
• Monte Carlo integration with a growing number of control variates
• A simple ordered data estimator for inverse density weighted expectations
• Parametric estimation of ordinary differential equations with orthogonality conditions
• Bounding quantile demand functions using revealed preference inequalities
• Distribution free estimation of heteroskedastic binary response models using probit/logit criterion functions
• Least squares model averaging by Mallows criterion
• Root-\(N\) consistent semiparametric estimators of a dynamic panel-sample-selection model
• Endogeneity in quantile regression models: a control function approach
• Testing semiparametric conditional moment restrictions using conditional martingale transforms
• Nonparametric estimation of an additive model with a link function
• Efficient semiparametric estimation of multi-valued treatment effects under ignorability
• Conditional quantile processes based on series or many regressors
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• Selection strategy for covariance structure of random effects in linear mixed-effects models
• Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality
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• Refining the least squares Monte Carlo method by imposing structure
• Testing the correlated random coefficient model
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• Nonparametric estimation of additive models with errors-in-variables
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• Estimation of partially specified spatial panel data models with random-effects
• The integrated mean squared error of series regression and a Rosenthal Hilbert-space inequality
• Inference in linear regression models with many covariates and heteroscedasticity
• Estimation of semi-parametric varying-coefficient spatial panel data models with random-effects
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• A weighted sieve estimator for nonparametric time series models with nonstationary variables
• The difference between LSMC and replicating portfolio in insurance liability modeling
• A note on ``Convergence rates and asymptotic normality for series estimators: uniform convergence rates
• Optimal linear instrumental variables approximations
• On the calculation of risk measures using least-squares Monte Carlo
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• Nonparametric identification and estimation of heterogeneous causal effects under conditional independence
• Endogenous network production functions with selectivity

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