Sieve Inference on Semi-nonparametric Time Series Models
AbstractThe method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we establish a surprising result that the asymptotic variances of plug-in sieve M estimators of irregular (i.e., slower than root-T estimable) functionals do not depend on temporal dependence. Nevertheless, ignoring the temporal dependence in small samples may not lead to accurate inference. We then propose an easy-to-compute and more accurate inference procedure based on a "pre-asymptotic" sieve variance estimator that captures temporal dependence. We construct a "pre-asymptotic" Wald statistic using an orthonormal series long run variance (OS-LRV) estimator. For sieve M estimators of both regular (i.e., root-T estimable) and irregular functionals, a scaled "pre-asymptotic" Wald statistic is asymptotically F distributed when the series number of terms in the OS-LRV estimator is held fixed. Simulations indicate that our scaled "pre-asymptotic" Wald test with F critical values has more accurate size in finite samples than the usual Wald test with chi-square critical values.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1849.
Length: 54 pages
Date of creation: Feb 2012
Date of revision:
Publication status: Published in Journal of Econometrics (January 2014), 178(3): 639-658
Note: CFP 1401
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- Xiaohong Chen & Zhipeng Liao & Yixiao Sun, 2012. "Sieve inference on semi-nonparametric time series models," CeMMAP working papers CWP06/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-27 (All new papers)
- NEP-ECM-2012-02-27 (Econometrics)
- NEP-ETS-2012-02-27 (Econometric Time Series)
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