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Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory

  • Lavergne, Pascal
  • Patilea, Valentin
Registered author(s):

    To study the influence of a bandwidth parameter in inference with conditional moments, we propose a new class of estimators and establish an asymptotic representation of our estimator as a process indexed by a bandwidth, which can vary within a wide range including bandwidths independent of the sample size. We study its behavior under misspecification. We also propose an efficient version of our estimator. 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://www.sciencedirect.com/science/article/pii/S0304407613001280
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 177 (2013)
    Issue (Month): 1 ()
    Pages: 47-59

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    Handle: RePEc:eee:econom:v:177:y:2013:i:1:p:47-59
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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