Sieve M inference on irregular parameters

Xiaohong Chen () and Zhipeng Liao

Journal of Econometrics, 2014, vol. 182, issue 1, 70-86

Abstract: This paper presents sieve inferences on possibly irregular (i.e., slower than root-n estimable) functionals of semi-nonparametric models with i.i.d. data. We provide a simple consistent variance estimator of the plug-in sieve M estimator of a possibly irregular functional, and the asymptotic standard normality of the sieve t statistic. We show that, for hypothesis testing of irregular functionals, the sieve likelihood ratio statistic is asymptotically Chi-square distributed. These results are useful in inference on structural parameters that may have singular semiparametric efficiency bounds. A simulation study and an empirical application of Heckman and Singer (1984) duration model are presented.

Keywords: Irregular functional; Sieve M estimation; Sieve t statistic; Sieve likelihood ratio; Zero information; Semiparametric duration model (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:182:y:2014:i:1:p:70-86

DOI: 10.1016/j.jeconom.2014.04.009

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