Bootstrapping Semiparametric Models with Single-Index Nuisance Parameters, Second Version
AbstractThis paper considers models of conditional moment restrictions that involve non-parametric functions of single-index nuisance parameters. This paper proposes a bootstrap method of constructing confidence sets which has the following three merits. First, the bootstrap is valid even when the single-index estimator follows cube-root asymptotics. Second, the bootstrap method accommodates conditional heteroskedasticity. Third, the bootstrap does not require re-estimation of the single-index component for each bootstrap sample. The method is built on this paper’s general finding that as far as the single-index is a conditioning variable of a conditional expectation, the influence of the estimated single-indices in these models is asymptotically negligible. This finding is shown to have a generic nature through an analysis of Fréchet derivatives of linear functionals of conditional expectations. Some results from Monte Carlo simulations are presented and discussed.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 10-026.
Length: 51 pages
Date of creation: 16 Oct 2009
Date of revision: 02 Aug 2010
semiparametric conditional moment restrictions; single-index restrictions; cube root asymptotics; bootstrap;
Find related papers by JEL classification:
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ichimura, H., 1991. "Semiparametric Least Squares (sls) and Weighted SLS Estimation of Single- Index Models," Papers 264, Minnesota - Center for Economic Research.
- Escanciano, Juan Carlos & Song, Kyungchul, 2010. "Testing single-index restrictions with a focus on average derivatives," Journal of Econometrics, Elsevier, vol. 156(2), pages 377-391, June.
- Hardle, Wolfgang & Tsybakov, A. B., 1993.
"How sensitive are average derivatives?,"
Journal of Econometrics,
Elsevier, vol. 58(1-2), pages 31-48, July.
- Hardle, W. & Tsybakov, A.B., 1992. "How Sensitive are Average Derivatives?," Papers 9208, Tilburg - Center for Economic Research.
- Hardle, W.K. & Tsybakov, A.B., 1992. "How sensitive are average derivatives?," Discussion Paper 1992-8, Tilburg University, Center for Economic Research.
- Hardle, W. & Tsybakov, A., 1991. "How sensitive are average derivates ?," CORE Discussion Papers 1991044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dolly Guarini).
If references are entirely missing, you can add them using this form.