Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals

Xiaohong Chen () and Demian Pouzo
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Demian Pouzo: Institute for Fiscal Studies

No CWP20/09, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components (Θ) and unknown functions (h)of endogenous variables. We show that: (1) the penalized sieve minimum distance(PSMD) estimator (ˆΘ, ˆh) can simultaneously achieve root-n asymptotic normality of ˆΘ and nonparametric optimal convergence rate of ˆh, allowing for noncompact function parameter spaces; (2) a simple weighted bootstrap procedure consistently estimates the limiting distribution of the PSMD ˆΘ; (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.

This is an updated version of CWP09/08.

Date: 2009-07-29
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (139)

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Related works:
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)
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