Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals
Xiaohong Chen () and
Additional contact information
Demian Pouzo: Dept. of Economics, New York University
No 1640R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University
This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components (theta) and unknown functions (h) of endogenous variables. We show that: (1) the penalized sieve minimum distance (PSMD) estimator (theta\hat,h\hat) can simultaneously achieve root-n asymptotic normality of theta\hat and nonparametric optimal convergence rate of h\hat, allowing for noncompact function parameter spaces; (2) a simple weighted bootstrap procedure consistently estimates the limiting distribution of the PSMD theta\hat; (3) the semiparametric efficiency bound formula of Ai and Chen (2003) remains valid for conditional models with nonsmooth residuals, and the optimally weighted PSMD estimator achieves the bound; (4) the centered, profiled optimally weighted PSMD criterion is asymptotically chi-square distributed. We illustrate our theories using a partially linear quantile instrumental variables (IV) regression, a Monte Carlo study, and an empirical estimation of the shape-invariant quantile IV Engel curves.
Keywords: Penalized sieve minimum distance; Nonsmooth generalized residuals; Nonlinear nonparametric endogeneity; Weighted bootstrap; Semiparametric efficiency; Confidence region; Partially linear quantile IV regression; Shape-invariant quantile IV Engel curves (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2008-02, Revised 2009-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (54) Track citations by RSS feed
Published in Journal of Econometrics (September 2009), 152: 46-60
Downloads: (external link)
Journal Article: Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals (2009)
Working Paper: Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals (2009)
Working Paper: Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals (2008)
Working Paper: Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1640r
Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.
Access Statistics for this paper
More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Matthew Regan ().