Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals

DOI10.1016/J.JECONOM.2009.02.002zbMATH Open1431.62111OpenAlexW3126049637MaRDI QIDQ2628862FDOQ2628862

Authors: Xiaohong Chen, Demian Pouzo 

Publication date: 18 July 2016

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

Full work available at URL: http://economics.yale.edu/sites/default/files/files/Working-Papers/wp000/ddp0038.pdf

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zbMATH Keywords

semiparametric efficiencyconfidence regionweighted bootstrapnonlinear nonparametric endogeneitynonsmooth generalized residualspartially linear quantile IV regressionpenalized sieve minimum distanceshape-invariant quantile IV Engel curves

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

Cites Work

• Quantile regression.
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• Root-N-Consistent Semiparametric Regression
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• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Instrumental Variable Estimation of Nonparametric Models
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• Convergence rates and asymptotic normality for series estimators
• Projection estimation in multiple regression with application to functional ANOVA models
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• On differentiable functionals
• On Profile Likelihood
• EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL
• Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
• The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives*
• Twicing Kernels and a Small Bias Property of Semiparametric Estimators
• Robust semiparametric M-estimation and the weighted bootstrap
• Sieve likelihood ratio inference on general parameter space
• The Normal Approximation for Semiparametric Averaged Derivatives
• Nearest-neighbour estimation of semiparametric regression models

Cited In (65)

• Orthogonal statistical learning
• Smoothed GMM for quantile models
• Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions
• Examples of \(L^2\)-complete and boundedly-complete distributions
• Averaging of an increasing number of moment condition estimators
• Estimation of nonparametric conditional moment models with possibly nonsmooth generalized residuals
• Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables
• Bootstrap confidence sets under model misspecification
• A closed-form estimator for quantile treatment effects with endogeneity
• High dimensional semiparametric moment restriction models
• Nonparametric identification in panels using quantiles
• Distribution free estimation of heteroskedastic binary response models using probit/logit criterion functions
• Semiparametric estimation of moment condition models with weakly dependent data
• Characterization of the asymptotic distribution of semiparametric M-estimators
• Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors
• Efficient semiparametric estimation of multi-valued treatment effects under ignorability
• Conditional quantile processes based on series or many regressors
• Semiparametric efficiency bounds for conditional moment restriction models with different conditioning variables
• Bootstrap consistency for general semiparametric \(M\)-estimation
• Optimal linear instrumental variables approximations
• Posterior consistency of nonparametric conditional moment restricted models
• Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
• Smoothed quantile regression with large-scale inference
• Semiparametric efficiency for partially linear single-index regression models
• Discussion: Nonparametric estimation of noisy integral equations of the second kind
• Robust and optimal estimation for partially linear instrumental variables models with partial identification
• Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
• Tikhonov regularization for nonparametric instrumental variable estimators
• Sieve instrumental variable quantile regression estimation of functional coefficient models
• SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION
• A note on generalized empirical likelihood estimation of semiparametric conditional moment restriction models
• Semiparametric estimation of Markov decision processes with continuous state space
• Semi‐parametric Estimation in a Single‐index Model with Endogenous Variables
• Moment consistency of the exchangeably weighted bootstrap for semiparametric M-estimation
• Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models
• Asymptotic efficiency of semiparametric two-step GMM
• Adaptive nonparametric instrumental variables estimation: empirical choice of the regularization parameter
• Inference in semiparametric conditional moment models with partial identification
• GMM quantile regression
• Semiparametric estimation with generated covariates
• NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
• Tests of additional conditional moment restrictions
• A single-index quantile regression model and its estimation
• Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables
• Semiparametric efficient estimation for the auxiliary outcome problem with the conditional mean model
• Estimation of a semiparametric transformation model in the presence of endogeneity
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Estimation and inference of semiparametric models using data from several sources
• Uniform confidence bands for functions estimated nonparametrically with instrumental variables
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
• Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative
• Semiparametric \(M\)-estimation with non-smooth criterion functions
• Smooth minimum distance estimation and testing with conditional estimating equations: uniform in bandwidth theory
• Extremum estimation and numerical derivatives
• Inconsistency transmission and variance reduction in two-stage quantile regression
• Identification and estimation of nonlinear models using two samples with nonclassical measurement errors
• Identification and estimation of sequential games of incomplete information with multiple equilibria
• Wild bootstrap inference for penalized quantile regression for longitudinal data
• Efficient estimation of a triangular system of equations for quantile regression
• Locally Robust Semiparametric Estimation
• Identification of multi-valued treatment effects with unobserved heterogeneity
• Bootstrap Inference for Panel Data Quantile Regression
• A Comparison of Two Quantile Models With Endogeneity
• Dynamic regression discontinuity under treatment effect heterogeneity

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