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Smooth Minimum Distance Estimation and Testing in Conditional Moment Restrictions Models: Uniform in Bandwidth Theory

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Abstract

We propose a new estimation method for models defined by conditional moment restrictions,that minimizes a distance criterion based on kernel smoothing. Whether the bandwidth parameter is fixed or decreases to zero with the sample size, our approach defines a whole class of estimators. We develop a theory that focuses on uniformity in bandwidth. We establish a pn-asymptotic representation of our estimator as a process depending on the bandwidth within a wide range including fixed bandwidths and that applies to misspecified models. We also study an efficient version of our estimator. We develop inference procedures based on a distance metric statistic for testing restrictions on parameters and we propose a new bootstrap technique. Our new methods apply to non-smooth problems, are simple to implement, and perform well in small samples.

Suggested Citation

  • Pascal Lavergne & Valentin Patilea, 2008. "Smooth Minimum Distance Estimation and Testing in Conditional Moment Restrictions Models: Uniform in Bandwidth Theory," Discussion Papers dp08-08, Department of Economics, Simon Fraser University.
  • Handle: RePEc:sfu:sfudps:dp08-08
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    Cited by:

    1. Lavergne, Pascal & Nguimkeu, Pierre, 2016. "A Hausman Specification Test of Conditional Moment Restrictions," TSE Working Papers 16-743, Toulouse School of Economics (TSE).
    2. Kotchoni, Rachidi, 2014. "The indirect continuous-GMM estimation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 464-488.
    3. Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
    4. Carrasco, Marine & Kotchoni, Rachidi, 2017. "Efficient Estimation Using The Characteristic Function," Econometric Theory, Cambridge University Press, vol. 33(02), pages 479-526, April.
    5. Nguimkeu, Pierre, 2014. "A structural econometric analysis of the informal sector heterogeneity," Journal of Development Economics, Elsevier, vol. 107(C), pages 175-191.
    6. Manuel Dominguez & Ignacio Lobato, 2010. "Consistent Inference in Models Defined by COnditional Moment Restrictions: an Alternative to GMM," Working Papers 1005, Centro de Investigacion Economica, ITAM.

    More about this item

    Keywords

    Conditional Moments; Smoothing Methods;

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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