Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
From MaRDI portal
Publication:5472999
DOI10.1111/1468-0262.00461zbMath1154.62325OpenAlexW2148119495MaRDI QIDQ5472999
Ingrid Van Keilegom, Xiaohong Chen, Oliver B. Linton
Publication date: 19 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/2167/1/Estimation_of_Semiparametric_Models_when_the_Criterion_Function_is_not_Smooth.pdf
Related Items
Sample Empirical Likelihood and the Design-based Oracle Variable Selection Theory, LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS, AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY, Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View, Semiparametric estimation of signaling games with equilibrium refinement, NONPARAMETRIC TWO-STEP SIEVE M ESTIMATION AND INFERENCE, A Simple Estimator for Binary Choice Models with Endogenous Regressors, Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes, Inconsistency transmission and variance reduction in two-stage quantile regression, Conditional quantile analysis for realized GARCH models, TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES, A semiparametric method for evaluating causal effects in the presence of error‐prone covariates, IDENTIFICATION AND ESTIMATION IN A CORRELATED RANDOM COEFFICIENTS TRANSFORMATION MODEL, On the use of \(L\)-functionals in regression models, A nonparametric instrumental approach to confounding in competing risks models, A robust test of exogeneity based on quantile regressions, Using monotonicity restrictions to identify models with partially latent covariates, Two-step estimation of censored quantile regression for duration models with time-varying regressors, Estimation and inference in factor copula models with exogenous covariates, Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications, High-dimensional robust inference for censored linear models, Survival Analysis via Ordinary Differential Equations, Estimating Density Ratio of Marginals to Joint: Applications to Causal Inference, ON EFFICIENCY GAINS FROM MULTIPLE INCOMPLETE SUBSAMPLES, A corrected Clarke test for model selection and beyond, Neighborhood-based cross fitting approach to treatment effects with high-dimensional data, Uniform convergence results for the local linear regression estimation of the conditional distribution, Locally Robust Semiparametric Estimation, Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models, Panel Data Quantile Regression for Treatment Effect Models, Teacher-to-Classroom Assignment and Student Achievement, From Conditional Quantile Regression to Marginal Quantile Estimation with Applications to Missing Data and Causal Inference, Causal inference of general treatment effects using neural networks with a diverging number of confounders, Semi-parametric single-index predictive regression models with cointegrated regressors, Series estimation for single‐index models under constraints, SPECIFICATION TESTING IN NONPARAMETRIC INSTRUMENTAL QUANTILE REGRESSION, Unnamed Item, ESTIMATION OF A SEMIPARAMETRIC TRANSFORMATION MODEL IN THE PRESENCE OF ENDOGENEITY, A SIMPLE ITERATIVE Z-ESTIMATOR FOR SEMIPARAMETRIC MODELS, UNIFORM CONVERGENCE OF SERIES ESTIMATORS OVER FUNCTION SPACES, Cure Rate Quantile Regression for Censored Data With a Survival Fraction, Semiparametric estimation of treatment effect with density ratio model, Likelihood-Based Inference for Semi-Competing Risks, ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL, Semiparametric Estimation in General Repeated Measures Problems, On the asymptotics of \(Z\)-estimators indexed by the objective functions, Semiparametric estimation of copula models with nonignorable missing data, Two-step combined nonparametric likelihood estimation of misspecified semiparametric models, Identification and estimation of nonlinear models using two samples with nonclassical measurement errors, Nonparametric Testing of an Exclusion Restriction in Quantile Regression, An Adapted Loss Function for Censored Quantile Regression, PROPERTIES OF DOUBLY ROBUST ESTIMATORS WHEN NUISANCE FUNCTIONS ARE ESTIMATED NONPARAMETRICALLY, Non-parametric regression for binary dependent variables, Comment, Improved Doubly Robust Estimation in Learning Optimal Individualized Treatment Rules, NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION, Two-sample least squares projection, Right tail information and asset pricing, Smoothed maximum score estimation with nonparametrically generated covariates, Modeling heterogeneous treatment effects in the presence of endogeneity, Semiparametric estimation of moment condition models with weakly dependent data, On an extension of the promotion time cure model, Quasi-maximum likelihood estimation for conditional quantiles, Semiparametric estimation of a Box-Cox transformation model with varying coefficients model, Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables, Root-\(N\) consistent semiparametric estimators of a dynamic panel-sample-selection model, Endogeneity in quantile regression models: a control function approach, Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals, Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality, Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative, Semiparametric estimation of binary response models with endogenous regressors, Testing semiparametric conditional moment restrictions using conditional martingale transforms, An improved bootstrap test of stochastic dominance, Efficient semiparametric estimation of multi-valued treatment effects under ignorability, Estimation and inference in an ecological inference model, Nonparametric estimation of first-price auctions with risk-averse bidders, Regularized linear censored quantile regression, A simple nonparametric approach to estimating the distribution of random coefficients in structural models, Corrigendum to ``Characterization of the asymptotic distribution of semiparametric M-estimators, An estimating equation for censored and truncated quantile regression, Minimum distance from independence estimation of nonseparable instrumental variables models, Identification in a generalization of bivariate probit models with dummy endogenous regressors, CONSISTENCY AND ASYMPTOTIC NORMALITY OF SIEVE ML ESTIMATORS UNDER LOW-LEVEL CONDITIONS, Quantile regression methods with varying-coefficient models for censored data, Estimating the survival functions in a censored semi-competing risks model, Survey weighted estimating equation inference with nuisance functionals, BOOTSTRAPPING DENSITY-WEIGHTED AVERAGE DERIVATIVES, Penalized profiled semiparametric estimating functions, Two-step semiparametric empirical likelihood inference, Estimation in semiparametric models with missing data, Low dimensional semiparametric estimation in a censored regression model, Current status linear regression, A presmoothing approach for estimation in the semiparametric Cox mixture cure model, High dimensional semiparametric moment restriction models, Smoothed quantile regression with large-scale inference, A quantile regression estimator for censored data, General \(M\)-estimator processes and their \(m\) out of \(n\) bootstrap with functional nuisance parameters, Estimation of a semiparametric transformation model, Semiparametric efficiency in GMM models with auxiliary data, Quantile regression of longitudinal data with informative observation times, Semi‐parametric Estimation in a Single‐index Model with Endogenous Variables, An informative subset-based estimator for censored quantile regression, Efficient parameter estimation in regression with missing responses, Identification of unobserved distribution factors and preferences in the collective household model, Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data, Convergence rate and Bahadur type representation of general smoothing spline M-estimates, SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES, Nonparametric regression with nonparametrically generated covariates, Identification and estimation of nonlinear dynamic panel data models with unobserved covariates, A sieve M-theorem for bundled parameters in semiparametric models, with application to the efficient estimation in a linear model for censored data, A general approach for cure models in survival analysis, Goodness-of-fit tests for the error distribution in nonparametric regression, Goodness-of-fit test for a parametric survival function with cure fraction, A fast resample method for parametric and semiparametric models, Sieve \(M\) inference on irregular parameters, Select the valid and relevant moments: an information-based Lasso for GMM with many moments, Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies, Sieve semiparametric two-step GMM under weak dependence, Flexible Modeling in the Koziol-Green Model by a Copula Function, Difference-in-differences with multiple time periods, Semi-parametric models for negative binomial panel data, Efficient estimation of population quantiles in general semiparametric regression models, Efficient propensity score regression estimators of multivalued treatment effects for the treated, Indirect inference with endogenously missing exogenous variables, Higher-order properties of approximate estimators, Pairwise-difference estimation of incomplete information games, Distribution free estimation of heteroskedastic binary response models using probit/logit criterion functions, On the equivalence of instrumental variables estimators for linear models, Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models, Testing single-index restrictions with a focus on average derivatives, Quantile regression for right-censored and length-biased data, Endogenous regressor binary choice models without instruments, with an application to migration, Doubly robust difference-in-differences estimators, Indirect inference for locally stationary models, Nonparametric regression with selectively missing covariates, Sequential estimation of censored quantile regression models, Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing, Specification analysis of linear quantile models, Specification tests of parametric dynamic conditional quantiles, Characterization of the asymptotic distribution of semiparametric M-estimators, Estimating features of a distribution from binomial data, Semiparametric estimation of Markov decision processes with continuous state space, Inferring welfare maximizing treatment assignment under budget constraints, \(\sqrt{n}\)-uniformly consistent density estimation in nonparametric regression models, Estimation of a semiparametric transformation model: a novel approach based on least squares minimization, Robust estimation with many instruments, Measurement errors in quantile regression models, Merging multiple longitudinal studies with study-specific missing covariates: A joint estimating function approach, CONSISTENT VARIANCE OF THE LAPLACE-TYPE ESTIMATORS: APPLICATION TO DSGE MODELS, EMPIRICAL LIKELIHOOD ESTIMATION OF CONDITIONAL MOMENT RESTRICTION MODELS WITH UNKNOWN FUNCTIONS, Flexible modeling based on copulas in nonparametric median regression, Semiparametric \(M\)-estimation with non-smooth criterion functions, Extending the scope of empirical likelihood, Sample selection models with monotone control functions, Do people maximize quantiles?, Semi-parametric single-index panel data models with interactive fixed effects: theory and practice, Indirect inference with a non-smooth criterion function, Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions, Smoothed GMM for quantile models, New difference-based estimator of parameters in semiparametric regression models, Extremum estimation and numerical derivatives
