Sieve M inference on irregular parameters

DOI10.1016/J.JECONOM.2014.04.009zbMATH Open1311.62043OpenAlexW2134184394MaRDI QIDQ2451802FDOQ2451802

Authors: Xiaohong Chen, Zhipeng Liao 

Publication date: 4 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.04.009

Recommendations

• Sieve inference on possibly misspecified semi-nonparametric time series models
• Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
• Nonparametric two-step sieve M estimation and inference
• Sieve likelihood ratio inference on general parameter space
• On methods of sieves and penalization

zbMATH Keywords

irregular functionalsemiparametric duration modelsieve \(M\) estimationsieve \(t\) statisticsieve likelihood ratiozero information

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Regression Quantiles
• Quantile regression.
• Semiparametric efficiency bounds
• Semiparametric Estimation of the Intercept of a Sample Selection Model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Semi-Nonparametric Maximum Likelihood Estimation
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• On methods of sieves and penalization
• Title not available (Why is that?)
• Improved rates and asymptotic normality for nonparametric neural network estimators
• Convergence rates and asymptotic normality for series estimators
• Local asymptotics for polynomial spline regression
• Projection estimation in multiple regression with application to functional ANOVA models
• Local asymptotics for regression splines and confidence regions
• Identification and estimation of average partial effects in ``irregular correlated random coefficient panel data models
• Irregular identification, support conditions, and inverse weight estimation
• Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
• Asymptotic efficiency in semi-parametric models with censoring
• A Smoothed Maximum Score Estimator for the Binary Response Model
• On differentiable functionals
• Information criteria and statistical modeling.
• A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data
• Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
• Convergence rate of sieve estimates
• The Efficiency Bound of the Mixed Proportional Hazard Model
• Identifiability and rates of estimation for scale parameters in location mixture models
• Simple Estimation of a Duration Model with Unobserved Heterogeneity
• True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model
• Distribution free estimation of heteroskedastic binary response models using probit/logit criterion functions
• The Singularity of the Information Matrix of the Mixed Proportional Hazard Model
• Large-sample inference for log-spline models
• On the asymptotic normality of Fourier flexible form estimates
• Binary response models for panel data: identification and information
• Sieve likelihood ratio inference on general parameter space
• Sieve inference on possibly misspecified semi-nonparametric time series models
• Information in semiparametric mixtures of exponential families
• On maximum likelihood estimation in infinite dimensional parameter spaces
• Title not available (Why is that?)
• Consistency and asymptotic normality of sieve ML estimators under low-level conditions

Cited In (20)

• Sieve likelihood ratio inference on general parameter space
• Sieve inference on possibly misspecified semi-nonparametric time series models
• Estimation and inference for moments of ratios with robustness against large trimming bias
• Sieve maximum likelihood estimator for functional probit model
• Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
• Local asymptotics for nonparametric quantile regression with regression splines
• Empirical Likelihood Ratio Tests of Conditional Moment Restrictions With Unknown Functions
• Irregular identification of structural models with nonparametric unobserved heterogeneity
• Identification and Estimation of Multinomial Choice Models with Latent Special Covariates
• Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
• Uniform nonparametric inference for time series
• Inference in nonparametric series estimation with specification searches for the number of series terms
• Nonparametric two-step sieve M estimation and inference
• Consistency and asymptotic normality of sieve ML estimators under low-level conditions
• Identification of nonparametric monotonic regression models with continuous nonclassical measurement errors
• Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
• Semiparametric \(M\)-estimation with non-smooth criterion functions
• Sequentially estimating the structural equation by power transformation
• SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION
• Testing subspace restrictions in the presence of high dimensional nuisance parameters

This page was built for publication: Sieve \(M\) inference on irregular parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2451802)