Bootstrapping Semiparametric Models with Single-Index Nuisance Parameters, Second Version

Kyungchul Song (kysong@sas.upenn.edu)
Additional contact information
Kyungchul Song: Department of Economics, University of Pennsylvania

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: This paper considers models of conditional moment restrictions that involve non-parametric functions of single-index nuisance parameters. This paper proposes a bootstrap method of constructing confidence sets which has the following three merits. First, the bootstrap is valid even when the single-index estimator follows cube-root asymptotics. Second, the bootstrap method accommodates conditional heteroskedasticity. Third, the bootstrap does not require re-estimation of the single-index component for each bootstrap sample. The method is built on this paper’s general finding that as far as the single-index is a conditioning variable of a conditional expectation, the influence of the estimated single-indices in these models is asymptotically negligible. This finding is shown to have a generic nature through an analysis of Fréchet derivatives of linear functionals of conditional expectations. Some results from Monte Carlo simulations are presented and discussed.

Keywords: semiparametric conditional moment restrictions; single-index restrictions; cube root asymptotics; bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C14 C51 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2009-10-16, Revised 2010-08-02
New Economics Papers: this item is included in nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://economics.sas.upenn.edu/sites/default/file ... ng-papers/10-026.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:pen:papers:10-026

Access Statistics for this paper

More papers in PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 133 South 36th Street, Philadelphia, PA 19104. Contact information at EDIRC.
Bibliographic data for series maintained by Administrator (pier@econ.upenn.edu).