Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables

DOI10.1016/j.jeconom.2007.01.013zbMath1418.62405OpenAlexW2061772119MaRDI QIDQ288341

Chunrong Ai, Xiaohong Chen

Publication date: 25 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.01.013

zbMATH Keywords

misspecificationconditional moment models with different conditioning setsnonparametric endogeneitysieve minimum distanceweighted average derivatives

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items

An equivalence result for moment equations when data are missing at random ⋮ Two-step series estimation and specification testing of (partially) linear models with generated regressors ⋮ Conditional empirical likelihood estimation and inference for quantile regression models ⋮ Generalized empirical likelihood testing in semiparametric conditional moment restrictions models ⋮ Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals ⋮ Nonparametric estimation in case of endogenous selection ⋮ Robust and optimal estimation for partially linear instrumental variables models with partial identification ⋮ Some uniform convergence results for kernel estimators ⋮ Misspecified semiparametric model selection with weakly dependent observations ⋮ Using monotonicity restrictions to identify models with partially latent covariates ⋮ Efficient estimation of average derivatives in NPIV models: simulation comparisons of neural network estimators ⋮ Orthogonal statistical learning ⋮ Estimation and inference for policy relevant treatment effects ⋮ Locally Robust Semiparametric Estimation ⋮ Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators ⋮ SIMEX and standard error estimation in semiparametric measurement error models ⋮ SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES ⋮ Optimal linear instrumental variables approximations ⋮ Difference-in-differences with multiple time periods ⋮ NONPARAMETRIC INSTRUMENTAL VARIABLES AND REGULAR ESTIMATION ⋮ The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions ⋮ Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors ⋮ Instrumental variable methods for recovering continuous linear functionals ⋮ An alternative root-\(n\) consistent estimator for panel data binary choice models ⋮ ADAPTIVE ESTIMATION OF FUNCTIONALS IN NONPARAMETRIC INSTRUMENTAL REGRESSION ⋮ A doubly corrected robust variance estimator for linear GMM ⋮ Doubly robust difference-in-differences estimators ⋮ Estimation of panel data partly specified Tobit regression with fixed effects ⋮ Characterization of the asymptotic distribution of semiparametric M-estimators ⋮ Editors' introduction ⋮ Two-step combined nonparametric likelihood estimation of misspecified semiparametric models ⋮ Identification and estimation of nonlinear models using two samples with nonclassical measurement errors ⋮ Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions ⋮ Comment ⋮ Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression

Cites Work

• Unnamed Item
• Root-\(N\) consistent semiparametric estimators of a dynamic panel-sample-selection model
• A method of moments interpretation of sequential estimators
• Additive regression and other nonparametric models
• Errors in variables in simultaneous equation models
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• A limit theorem for a smooth class of semiparametric estimators
• Convergence rates and asymptotic normality for series estimators
• On methods of sieves and penalization
• Semiparametric methods in econometrics
• On instrumental variable estimation of semiparametric dynamic panel data models.
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• Estimating systems of equations with different instruments for different equations
• Efficiency of Weighted Average Derivative Estimators and Index Models
• Root-N-Consistent Semiparametric Regression
• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
• The Asymptotic Variance of Semiparametric Estimators
• Sieve Extremum Estimates for Weakly Dependent Data
• Nonparametric Estimation of Triangular Simultaneous Equations Models
• Improved rates and asymptotic normality for nonparametric neural network estimators
• Semiparametric Estimation of Index Coefficients
• An Efficient Semiparametric Estimator for Binary Response Models
• Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
• The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives*
• Instrumental Variable Estimation of Nonparametric Models
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

This page was built for publication: Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables