The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
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Publication:528058
DOI10.1016/J.JECONOM.2012.05.015zbMATH Open1443.62418OpenAlexW2152001792MaRDI QIDQ528058FDOQ528058
Authors: Chunrong Ai, Xiaohong Chen 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/64640
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semiparametric efficiency boundsminimum distanceweighted average derivativesnonparametric IV regressionoptimally weighted orthogonalized sievepartially linear quantile IVsequential moment models
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Applications of statistics to economics (62P20)
Cites Work
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- Semiparametric efficiency bounds
- Efficiency Bounds for Semiparametric Regression
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- Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
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- Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
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Cited In (24)
- Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
- Orthogonal statistical learning
- Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions
- Let's get LADE: robust estimation of semiparametric multiplicative volatility models
- Three-stage semi-parametric inference: control variables and differentiability
- Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
- Efficiency bounds for semiparametric models with singular score functions
- EFFICIENCY BOUNDS FOR SEMIPARAMETRIC ESTIMATION OF INVERSE CONDITIONAL-DENSITY-WEIGHTED FUNCTIONS
- Semiparametric efficiency bounds for conditional moment restriction models with different conditioning variables
- An equivalence result for moment equations when data are missing at random
- Efficient estimation of average derivatives in NPIV models: simulation comparisons of neural network estimators
- Adaptive estimation of functionals in nonparametric instrumental regression
- Efficiency Bounds for Semiparametric Regression
- On efficiency gains from multiple incomplete subsamples
- Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators
- Doubly robust difference-in-differences estimators
- Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models
- Asymptotic efficiency of semiparametric two-step GMM
- Title not available (Why is that?)
- Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
- Nonparametric instrumental variables and regular estimation
- Neighborhood-based cross fitting approach to treatment effects with high-dimensional data
- Difference-in-differences with multiple time periods
- Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors
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