EconPapers    
Economics at your fingertips  
 

Semiparametric estimation of moment condition models with weakly dependent data

Francesco Bravo (), Ba Chu and David Jacho-Chávez ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper develops the asymptotic theory for the estimation of smooth semiparametric generalized estimating equations models with weakly dependent data. The paper proposes new estimation methods based on smoothed two-step versions of the generalised method of moments and generalised empirical likelihood methods. An important aspect of the paper is that it allows the first-step estimation to have an effect on the asymptotic variances of the second-step estimators and explicitly characterises this effect for the empirically relevant case of the so-called generated regressors. The results of the paper are illustrated with a partially linear model that has not been previously considered in the literature. The proofs of the results utilise a new uniform strong law of large numbers and a new central limit theorem for U-statistics with varying kernels that are of independent interest.

Keywords: Alpha-mixing; empirical processes; empirical likelihood; stochastic equicontinuity; uniform law of large numbers (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2013, Revised 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Published in Journal of Nonparametric Statistics 1.29(2017): pp. 108-136

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/79686/1/MPRA_paper_79686.pdf original version (application/pdf)

Related works:
Journal Article: Semiparametric estimation of moment condition models with weakly dependent data (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:79686

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2020-11-07
Handle: RePEc:pra:mprapa:79686