Local M-estimation with discontinuous criterion for dependent and limited observations

Myung Hwan Seo and Taisuke Otsu

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, conditional maximum score estimator for a panel data discrete choice model, and many other widely used estimators in statistics and econometrics. Specifically, they allow for discontinuous criterion functions of weakly dependent observations, which may be localized by kernel smoothing and contain nuisance parameters whose dimension may grow to infinity. Furthermore, the localization can occur around parameter values rather than around a fixed point and the observation may take limited values, which leads to set estimators. Our theory produces three different nonparametric cube root rates and enables valid inference for the local M-estimators, building on novel maximal inequalities for weakly dependent data. Our results include the standard cube root asymptotics as a special case. To illustrate the usefulness of our results, we verify our conditions for various examples such as the Hough transform estimator with diminishing bandwidth, maximum score-type set estimator, and many others.

Keywords: Cube root asymptotics; Maximal inequality; Mixing process; Partial identification; Parameter-dependent localization (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2016-10
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://sticerd.lse.ac.uk/dps/em/em589.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:/589

Access Statistics for this paper

More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Bibliographic data for series maintained by ().