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

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Handle: RePEc:eee:econom:v:182:y:2014:i:1:p:70-86