Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals

Xiaohong Chen and Demian Pouzo

Journal of Econometrics, 2009, vol. 152, issue 1, pages 46-60

Abstract: This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components ([theta]) and unknown functions (h) of endogenous variables. We show that: (1) the penalized sieve minimum distance (PSMD) estimator can simultaneously achieve root-n asymptotic normality of and nonparametric optimal convergence rate of , allowing for noncompact function parameter spaces; (2) a simple weighted bootstrap procedure consistently estimates the limiting distribution of the PSMD ; (3) the semiparametric efficiency bound formula of [Ai, C., Chen, X., 2003. Efficient estimation of models with conditional moment restrictions containing unknown functions. Econometrica, 71, 1795-1843] remains valid for conditional models with nonsmooth residuals, and the optimally weighted PSMD estimator achieves the bound; (4) the centered, profiled optimally weighted PSMD criterion is asymptotically chi-square distributed. We illustrate our theories using a partially linear quantile instrumental variables (IV) regression, a Monte Carlo study, and an empirical estimation of the shape-invariant quantile IV Engel curves.

Keywords: Penalized; sieve; minimum; distance; Nonsmooth; generalized; residuals; Nonlinear; nonparametric; endogeneity; Weighted; bootstrap; Semiparametric; efficiency; Confidence; region; Partially; linear; quantile; IV; regression; Shape-invariant; quantile; IV; Engel; curves (search for similar items in EconPapers)
Date: 2009
View citations in EconPapers

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6VC0 ... 3a943d4a1a595dde5083
Full text for ScienceDirect subscribers only

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: http://EconPapers.repec.org/RePEc:eee:econom:v:152:y:2009:i:1:p:46-60

Access Statistics for this article

Journal of Econometrics is edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao, P. M. Robinson and A. Zellner

More articles in Journal of Econometrics from Elsevier
Series data maintained by Heidi Boesdal ().