Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models
This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals. These models belong to the difficult (nonlinear) ill-posed inverse problems with unknown operators, and include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. For these models it is generally difficult to verify whether a functional is regular (i.e., root-n estimable) or irregular (i.e., slower than root-n estimable). In this paper we provide computationally simple, unified inference procedures that are asymptotically valid regardless of whether a functional is regular or irregular. We establish the following new results: (1) the asymptotic normality of the plug-in penalized sieve minimum distance (PSMD) estimators of the (possibly irregular) functionals; (2) the consistency of sieve variance estimators of the plug-in PSMD estimators; (3) the asymptotic chi-square distribution of an optimally weighted sieve quasi likelihood ratio (SQLR) statistic; (4) the asymptotic tight distribution of a possibly non-optimally weighted SQLR statistic; (5) the consistency of the nonparametric bootstrap and the weighted bootstrap (possibly non-optimally weighted) SQLR and sieve Wald statistics, which are proved under virtually the same conditions as those for the original-sample statistics. Small simulation studies and an empirical illustration of a nonparametric quantile IV regression are presented.
|Date of creation:||May 2013|
|Date of revision:|
|Contact details of provider:|| Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA|
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.yale.edu/
More information through EDIRC
|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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.:
- Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
- Donald W. K. Andrews & Moshe Buchinsky, 2000. "A Three-Step Method for Choosing the Number of Bootstrap Repetitions," Econometrica, Econometric Society, vol. 68(1), pages 23-52, January.
- Serge Darolles & Jean-Pierre Florens & Eric Renault, 2000.
"Nonparametric Instrumental Regression,"
2000-17, Centre de Recherche en Economie et Statistique.
- Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2010.
- DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques.
- Serge Darolles & Jean-Pierre Florens & Yanqin Fan & Eric Renault, 2011. "Nonparametric Instrumental Regression," Post-Print halshs-00677716, HAL.
- Joel Horowitz & Sokbae Lee, 2006.
"Nonparametric instrumental variables estimation of a quantile regression model,"
CeMMAP working papers
CWP09/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Joel L. Horowitz & Sokbae Lee, 2007. "Nonparametric Instrumental Variables Estimation of a Quantile Regression Model," Econometrica, Econometric Society, vol. 75(4), pages 1191-1208, 07.
- Donald W.K. Andrews, 1999.
"Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators,"
Cowles Foundation Discussion Papers
1230, Cowles Foundation for Research in Economics, Yale University.
- Donald W. K. Andrews, 2002. "Higher-Order Improvements of a Computationally Attractive "k"-Step Bootstrap for Extremum Estimators," Econometrica, Econometric Society, vol. 70(1), pages 119-162, January.
- Donald W.K. Andrews, 1999. "Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators," Cowles Foundation Discussion Papers 1230R, Cowles Foundation for Research in Economics, Yale University, revised Jan 2001.
- 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.
- Xiaohong Chen & Zhipeng Liao & Yixiao Sun, 2012. "Sieve Inference on Semi-nonparametric Time Series Models," Cowles Foundation Discussion Papers 1849, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Sydney C. Ludvigson, 2009.
"Land of addicts? an empirical investigation of habit-based asset pricing models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093.
- Sydney Ludvigson & Xiaohong Chen, 2004. "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers 692, Society for Economic Dynamics.
- Chernozhukov, Victor & Imbens, Guido W. & Newey, Whitney K., 2007. "Instrumental variable estimation of nonseparable models," Journal of Econometrics, Elsevier, vol. 139(1), pages 4-14, July.
- Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2007. "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves," Econometrica, Econometric Society, vol. 75(6), pages 1613-1669, November.
- Joel L. Horowitz, 2011. "Applied Nonparametric Instrumental Variables Estimation," Econometrica, Econometric Society, vol. 79(2), pages 347-394, 03.
- Liao, Yuan & Jiang, Wenxin, 2011. "Posterior consistency of nonparametric conditional moment restricted models," MPRA Paper 38700, University Library of Munich, Germany.
- Gallant, A.R. & Tauchen, G., 1988.
"Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications,"
88-59, Chicago - Graduate School of Business.
- Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
- Joel L. Horowitz, 2007. "Asymptotic Normality Of A Nonparametric Instrumental Variables Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1329-1349, November.
- Otsu, Taisuke, 2011. "Empirical Likelihood Estimation Of Conditional Moment Restriction Models With Unknown Functions," Econometric Theory, Cambridge University Press, vol. 27(01), pages 8-46, February.
When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1897. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Matthew C. Regan)
If references are entirely missing, you can add them using this form.