Estimation of semiparametric models when the criterion function is not smooth

Xiaohong Chen, Oliver Linton and Ingred van Keilegom

No 02/02, CeMMAP working papers from Institute for Fiscal Studies

Abstract: We provide easy to verify suffcient conditions for the consistency and asymptotic normality of a class of semiparametric optimization estimators where the criterion function does not obey standard smoothness conditions and simultaneously depends on some preliminary nonparametric estimators. Our results extend existing theories like those of Pakes and Pollard (1989),Andrews (1994a), and Newey (1994). We apply our results to two examples: a 'hit rate' and apartially linear median regression with some endogenous regressors.

Date: 2002-11-07
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Related works:
Journal Article: Estimation of Semiparametric Models when the Criterion Function Is Not Smooth (2003)
Working Paper: Estimation of Semiparametric Models when the Criterion Function is not Smooth (2003)
Working Paper: Estimation of semiparametric models when the criterion function is not smooth (2003)
Working Paper: Estimation of semiparametric models when the criterion function is not smooth (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:02/02

DOI: 10.1920/wp.cem.2002.0202

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