Semiparametric Moment Restriction Models

Chaohua Dong and Jiti Gao ()
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Chaohua Dong: Zhongnan University of Economics and Law
Jiti Gao: Monash University

Chapter Chapter 7 in Modern Series Methods in Econometrics and Statistics, 2025, pp 175-229 from Springer

Abstract: Abstract While parametric moment restriction models (MRMs) have been studied extensively, this chapter mainly focuses on semiparametric MRMs (SMRMs) where nonparametrically unknown functions coexist with Euclidean parameters. Two popular estimation methods are semi-nonparametric (SNP) and sieve minimum distance (SMD) methods. To deal with big-data issues, high dimensional SMRMs for cross-sectional and panel data are investigated and estimated by series methods; some new identification conditions are given for factors and factor loadings in panel data models. Several new testing statistics are proposed for over-identification issue. Monte Carlo experiments are conducted to verify the theoretical results.

Date: 2025
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DOI: 10.1007/978-981-96-2822-3_7

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