Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals

Xiaohong Chen () and Demian Pouzo

Journal of Econometrics, 2009, vol. 152, issue 1, 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
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Citations: View citations in EconPapers (146)

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Related works:
Working Paper: Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals (2009)
Working Paper: Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals (2009)
Working Paper: Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals (2008)
Working Paper: Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:152:y:2009:i:1:p:46-60

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