Semiparametric estimation of moment condition models with weakly dependent data
From MaRDI portal
Publication:5266557
DOI10.1080/10485252.2016.1254781zbMath1369.62101OpenAlexW2550547276MaRDI QIDQ5266557
Francesco Bravo, Ba M. Chu, David T. Jacho-Chávez
Publication date: 16 June 2017
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/79686/1/MPRA_paper_79686.pdf
strong law of large numbersalpha-mixingempirical processescentral limit theoremsemiparametric estimationasymptotic theoryempirical likelihooduniform law of large numbersU-statisticstochastic equicontinuity
Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05)
Related Items
Two-step semiparametric empirical likelihood inference, Misspecified semiparametric model selection with weakly dependent observations, LIKELIHOOD INFERENCE ON SEMIPARAMETRIC MODELS WITH GENERATED REGRESSORS
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Empirical likelihood methods with weakly dependent processes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Density estimation in the \(L^ \infty\) norm for dependent data with applications to the Gibbs sampler
- A weak invariance principle for weighted \(U\)-statistics with varying kernels
- Uniform convergence of Vapnik-Chervonenkis classes under ergodic sampling
- Point estimation with exponentially tilted empirical likelihood
- A central limit theorem for generalized quadratic forms
- Consistency of a nonparametric estimate of a density function for dependent variables
- Nonparametric function estimation involving time series
- Statistical inference in single-index and partially nonlinear models
- Rates of convergence for empirical processes of stationary mixing sequences
- Semiparametric instrumental variable estimation of simultaneous equation sample selection models
- Limiting behavior of the perturbed empirical distribution functions evaluated at \(U\)-statistics for strongly mixing sequences of random variables
- Asymptotic efficiency in estimation with conditional moment restrictions
- Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours
- Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
- AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS
- k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA
- SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES
- GEL CRITERIA FOR MOMENT CONDITION MODELS
- Nonlinear Time Series
- Empirical likelihood ratio confidence intervals for a single functional
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
- Limiting behavior of U-statistics for stationary, absolutely regular processes
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
- The Asymptotic Variance of Semiparametric Estimators
- SEMIPARAMETRIC TIME SERIES REGRESSION
- MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Sieve Extremum Estimates for Weakly Dependent Data
- Identification and estimation of semiparametric two-step models
- Semiparametric Estimation of Index Coefficients
- SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR MODELS FOR DEPENDENT DATA WITH GENERATED REGRESSORS
- UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL
- Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
