Sieve Inference on Semi-nonparametric Time Series Models
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- Xiaohong Chen & . . & 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.
References listed on IDEAS
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Citations
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Cited by:
- Xiaohong Chen & Yin Jia Jeff Qiu, 2016.
"Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide,"
Annual Review of Economics, Annual Reviews, vol. 8(1), pages 259-290, October.
- Xiaohong Chen & Yin Jia Qiu, 2016. "Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide," Cowles Foundation Discussion Papers 2032, Cowles Foundation for Research in Economics, Yale University.
- Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn & Zhipeng Liao, 2014.
"Asymptotic Efficiency of Semiparametric Two-step GMM,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(3), pages 919-943.
- Xiaohong Chen & Jinyong Hahn, 2012. "Asymptotic efficiency of semiparametric two-step GMM," CeMMAP working papers 31/12, Institute for Fiscal Studies.
- Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2014. "Asymptotic efficiency of semiparametric two-step GMM," CeMMAP working papers 28/14, Institute for Fiscal Studies.
- Xiaohong Chen & Jinyong Hahn, 2012. "Asymptotic efficiency of semiparametric two-step GMM," CeMMAP working papers CWP31/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2014. "Asymptotic efficiency of semiparametric two-step GMM," CeMMAP working papers CWP28/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Jinyong Hahn & Zhipeng Liao, 2012. "Asymptotic Efficiency of Semiparametric Two-step GMM," Cowles Foundation Discussion Papers 1880, Cowles Foundation for Research in Economics, Yale University.
- Lee, Jungyoon & Robinson, Peter M., 2016. "Series estimation under cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 190(1), pages 1-17.
- Jungyoon Lee & Peter Robinson, 2016. "Series estimation under cross-sectional dependence," LSE Research Online Documents on Economics 63380, London School of Economics and Political Science, LSE Library.
- Xiaohong Chen & Demian Pouzo, 2013. "Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models," Cowles Foundation Discussion Papers 1897, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips & Zhipeng Liao, 2012. "Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications," Cowles Foundation Discussion Papers 1871, Cowles Foundation for Research in Economics, Yale University.
- Yining Chen, 2015. "Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 1-31, March.
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More about this item
Keywords
Weak dependence; Sieve M estimation; Sieve Riesz representor; Irregular functional; Misspecification; Pre-asymptotic variance; Orthogonal series long run variance estimation; F distribution;All these keywords.
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
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-02-27 (Econometrics)
- NEP-ETS-2012-02-27 (Econometric Time Series)
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