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Sieve Extremum Estimates for Weakly Dependent Data

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Author Info
Xiaohong Chen
Xiaotong Shen
Abstract

Many non/semiparametric time series estimates may be regarded as different forms of sieve extremum estimates. For stationary absolute regular mixing observations, the authors obtain convergence rates of sieve extremurn estimates and root-n asymptotic normality of 'plug-in' sieve extremum estimates of smooth functionals. As applications to time series models, they give convergence rates for nonparametric ARX(p,q) regression via neural networks, splines, wavelets; root-n asymptotic normality for partial linear additive AR(p) models, and monotone transformation AR(1) models.

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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 66 (1998)
Issue (Month): 2 (March)
Pages: 289-314
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Handle: RePEc:ecm:emetrp:v:66:y:1998:i:2:p:289-314

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  1. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2003. "Nonparametric IV estimation of shape-invariant Engel curves," CeMMAP working papers CWP15/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  2. Christelle Viauroux, G.L. Gayle, 2004. "Root-N Consistent Semiparametric Eestimators of a Dynamic Panel Sample Selection Model," University of Cincinnati, Economics Working Papers Series 2004-05, University of Cincinnati, Department of Economics. [Downloadable!]
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  3. Hidehiko Ichimura & Sokbae Lee, 2006. "Characterization of the Asymptotic Distribution of Semiparametric M-Estimators," CIRJE F-Series CIRJE-F-426, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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  4. Xiaohong Chen & Wei Biao Wu & Yanping Yi, 2009. "Efficient estimation of copula-based semiparametric Markov models," CeMMAP working papers CWP06/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  5. DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David, 2004. "Testing weak exogeneity in the exponential family : an application to financial point processes," CORE Discussion Papers 2004049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  6. Xiaohong Chen & Demian Pouzo, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  7. Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series /2002/434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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  8. Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function is not Smooth," STICERD - Econometrics Paper Series /2003/450, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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  9. Xiaohong Chen & Demian Pouzo, 2008. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP09/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  10. Harry J. Paarsch & Bjarne Brentstrup, 2004. "Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions with Asymmetric Bidders," Computing in Economics and Finance 2004 36, Society for Computational Economics. [Downloadable!]
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  11. Xiaohong Chen & Wei Biao Wu & Yanping Yi, 2009. "Efficient Estimation of Copula-based Semiparametric Markov Models," Cowles Foundation Discussion Papers 1691, Cowles Foundation, Yale University, revised Mar 2009. [Downloadable!]
  12. Xiaohong Chen & Demian Pouzo, 2008. "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Cowles Foundation Discussion Papers 1640R, Cowles Foundation, Yale University, revised Jul 2009. [Downloadable!]
  13. Andrew J. Patton & Allan Timmermann, 2005. "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series /2005/485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  14. Chen, Xiaohong & Hong, Han & Tarozzi, Alessandro, 2008. "Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects," Working Papers 42, Yale University, Department of Economics. [Downloadable!]
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  15. A. de Palma & C. Fontan & O. Mekkaoui, 2000. "Trip Timing for Public Transportation : An Empirical Application," THEMA Working Papers 2000-19, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
  16. Chen, Xiaohong & Pouzo, Demian, 2008. "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Working Papers 38, Yale University, Department of Economics. [Downloadable!]
  17. Darolles, Serge & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
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  18. Jiantong Zhang, 2004. "Sieve Estimates via Neural Network for Strong Mixing Processes," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 115-135, May. [Downloadable!] (restricted)
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