Sieve inference on possibly misspecified semi-nonparametric time series models

Xiaohong Chen (), Zhipeng Liao and Yixiao Sun

Journal of Econometrics, 2014, vol. 178, issue P3, 639-658

Abstract: This paper establishes the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi-nonparametric time series models. We show that, even when the sieve score process is not a martingale difference sequence, the asymptotic variance in the case of irregular functionals is the same as those for independent data. Using an orthonormal series long run variance estimator, we construct a “pre-asymptotic” Wald statistic and show that it is asymptotically F distributed. Simulations indicate that our “pre-asymptotic” Wald test with F critical values has more accurate size in finite samples than the conventional Wald test with chi-square critical values.

Keywords: Sieve M estimation; Sieve Riesz representer; Irregular functional; Pre-asymptotic variance; Orthonormal series long run variance estimation; F distribution (search for similar items in EconPapers)
JEL-codes: C12 C14 C32 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:178:y:2014:i:p3:p:639-658

DOI: 10.1016/j.jeconom.2013.10.002

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