Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory

Pascal Lavergne and Valentin Patilea

Journal of Econometrics, 2013, vol. 177, issue 1, 47-59

Abstract: To study the influence of a bandwidth parameter in inference with conditional moments, we propose a new class of estimators and establish an asymptotic representation of our estimator as a process indexed by a bandwidth, which can vary within a wide range including bandwidths independent of the sample size. We study its behavior under misspecification. We also propose an efficient version of our estimator. We develop a procedure based on a distance metric statistic for testing restrictions on parameters as well as a bootstrap technique to account for the bandwidth’s influence. Our new methods are simple to implement, apply to non-smooth problems, and perform well in our simulations.

Keywords: Semiparametric estimation; Conditional estimating equations; Smoothing methods; Asymptotic efficiency; Hypothesis testing; Bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:177:y:2013:i:1:p:47-59

DOI: 10.1016/j.jeconom.2013.05.006

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