Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing
AbstractA new uniform expansion is introduced for sums of weighted kernel-based regression residuals from nonparametric or semiparametric models. This result is useful for deriving asymptotic properties of semiparametric estimators and test statistics with data-dependent bandwidth, random trimming, and estimated weights. An extension allows for generated regressors, without requiring the calculation of functional derivatives. Example applications are provided for a binary choice model with selection, including a new semiparametric maximum likelihood estimator, and a new directional test for correct specification of the average structural function. An extended Appendix contains general results on uniform rates for kernel estimators, additional applications, and primitive sufficient conditions for high level assumptions.
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Bibliographic InfoPaper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 756.
Date of creation: 01 May 2010
Date of revision: 31 Jan 2012
Note: Previously circulated as "Uniform Convergence for Semiparametric Two Step Estimators and Tests"
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Double index models; Two step estimators; Semiparametric regression; Control function estimators; Sample selection models; Empirical process theory; Limited dependent variables; Oracle estimators; Migration;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
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- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011.
"Semiparametric Estimation with Generated Covariates,"
IZA Discussion Papers
6084, Institute for the Study of Labor (IZA).
- Enno Mammen & Christoph Rothe & Melanie Schienle, 2011. "Semiparametric Estimation with Generated Covariates," SFB 649 Discussion Papers SFB649DP2011-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Le-Yu Chen & Sokbae 'Simon' Lee & Myung Jae Sung, 2013. "Maximum score estimation of preference parameters for a binary choice model under uncertainty," CeMMAP working papers CWP14/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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