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Smooth Minimum Distance Estimation and Testing with Conditional Estimating Equations: Uniform in Bandwidth Theory

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  • Lavergne, Pascal
  • Patilea, Valentin
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    Abstract

    We study the influence of a bandwidth parameter in inference with conditional estimating equations. In that aim, we propose a new class of smooth minimum distance estimators and we develop a theory that focuses on uniformity in bandwidth. We establish a vn-asymptotic representation of our estimator as a process indexed by a bandwidth that can vary within a wide range including bandwidths independent of the sample size. We develop an efficient version of our estimator. We also study its behavior in misspecified models. We develop a procedure based on a distance metric statistic for testing restrictions on parameters as well as a bootstrap technique to account for the bandwidth’s influence. Our new methods are simple to implement, apply to non-smooth problems, and perform well in our simulations.

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    File URL: http://idei.fr/doc/by/lavergne/smdcomplete.pdf
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    Bibliographic Info

    Paper provided by Toulouse School of Economics (TSE) in its series TSE Working Papers with number 13-404.

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    Date of creation: Mar 2013
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    Publication status: Published in Journal of Econometrics, vol.�177, n°1, novembre 2013, p.�47-59.
    Handle: RePEc:tse:wpaper:27219

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    Related research

    Keywords: Semiparametric Estimation; Conditional Estimating Equations; Smoothing Methods; Asymptotic Efficiency; Hypothesis Testing; Bootstrap.;

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    1. Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-37, January.
    2. Sherman, Robert P., 1994. "U-Processes in the Analysis of a Generalized Semiparametric Regression Estimator," Econometric Theory, Cambridge University Press, vol. 10(02), pages 372-395, June.
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    Cited by:
    1. Rachidi Kotchoni, 2013. "The Indirect Continuous-GMM Estimation," Working Papers hal-00867804, HAL.
    2. Nguimkeu, Pierre, 2014. "A structural econometric analysis of the informal sector heterogeneity," Journal of Development Economics, Elsevier, vol. 107(C), pages 175-191.

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