Smooth Minimum Distance Estimation and Testing in Conditional Moment Restrictions Models: Uniform in Bandwidth Theory

Pascal Lavergne and Valentin Patilea
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Valentin Patilea: IRMAR-INSA

Discussion Papers from Department of Economics, Simon Fraser University

Abstract: We propose a new estimation method for models defined by conditional moment restrictions,that minimizes a distance criterion based on kernel smoothing. Whether the bandwidth parameter is fixed or decreases to zero with the sample size, our approach defines a whole class of estimators. We develop a theory that focuses on uniformity in bandwidth. We establish a pn-asymptotic representation of our estimator as a process depending on the bandwidth within a wide range including fixed bandwidths and that applies to misspecified models. We also study an efficient version of our estimator. We develop inference procedures based on a distance metric statistic for testing restrictions on parameters and we propose a new bootstrap technique. Our new methods apply to non-smooth problems, are simple to implement, and perform well in small samples.

Keywords: Conditional Moments; Smoothing Methods (search for similar items in EconPapers)
JEL-codes: C13 C14 C31 (search for similar items in EconPapers)
Pages: 46
Date: 2008-11
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (8)

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