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Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models

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

No CWP38/14, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. There models are often illposed and hence it is difficult to verify whether a (possibly nonlinear) functional is root-n estimable or not. We provide computationally simple, uni ed inference procedures that are asymptotically valid regardless of whether a functional is root-n estimable or not. We establish the following new useful results: (1) the asymptotic normality of a plug-in penalized sieve minimum distance (PSMD) estimator of a (possibly nonlinear) functional; (2) the consistency of simple sieve variance estimators for the plug-in PSMD estimator, and hence the asymptotic chi-square distribution of the sieve Wald statistic; (3) the asymptotic chi-square distribution of an optimally weighted sieve quasi likelihood ratio (QLR) test under the null hypothesis; (4) the asymptotic tight distribution of a non-optimally weighted sieve QLR statistic under the null; (5) the consistency of generalized residual bootstrap sieve Wald and QLR tests; (6) local power properties of sieve Wald and QLR tests and of their bootstrap versions; (7) asymptotic properties of sieve Wald and SQLR for functionals of increasing dimension. Simulation studies and an empirical illustration of a nonparametric quantile IV regression are presented.

Date: 2014-09-12
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Related works:
Journal Article: Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models (2015) Downloads
Working Paper: Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models (2015) Downloads
Working Paper: Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models (2014) Downloads
Working Paper: Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models (2014) Downloads
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