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Semi-parametric estimation of non-separable models: a minimum distance from independence approach

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  • Ivana Komunjer
  • Andres Santos

Abstract

consistent and asymptotically normally distributed. Copyright (C) 2010 The Author(s). The Econometrics Journal (C) 2010 Royal Economic Society

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Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 13 (2010)
Issue (Month): 3 (October)
Pages: S28-S55

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Handle: RePEc:ect:emjrnl:v:13:y:2010:i:3:p:s28-s55

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  1. Xiaohong Chen & Demian Pouzo, 2008. "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments," Cowles Foundation Discussion Papers 1650, Cowles Foundation for Research in Economics, Yale University, revised Oct 2008.
  2. Berry, Steven & Levinsohn, James & Pakes, Ariel, 1995. "Automobile Prices in Market Equilibrium," Econometrica, Econometric Society, vol. 63(4), pages 841-90, July.
  3. Hausman, Jerry A & Wise, David A, 1978. "A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences," Econometrica, Econometric Society, vol. 46(2), pages 403-26, March.
  4. Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November.
  5. Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-96, January.
  6. Chen, Xiaohong & Pouzo, Demian, 2008. "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments," Working Papers 47, Yale University, Department of Economics.
  7. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, 09.
  8. Manski, Charles F, 1983. "Closest Empirical Distribution Estimation," Econometrica, Econometric Society, vol. 51(2), pages 305-19, March.
  9. Andrew Chesher, 2003. "Identification in Nonseparable Models," Econometrica, Econometric Society, vol. 71(5), pages 1405-1441, 09.
  10. Xiaohong Chen & Demian Pouzo, 2008. "Estimation of nonparametric conditional moment models with possibly nonsmooth moments," CeMMAP working papers CWP12/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  11. Michael G. Akritas, 2001. "Non-parametric Estimation of the Residual Distribution," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 28(3), pages 549-567.
  12. Milgrom, Paul & Roberts, John, 1990. "Rationalizability, Learning, and Equilibrium in Games with Strategic Complementarities," Econometrica, Econometric Society, vol. 58(6), pages 1255-77, November.
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