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

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

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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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
Publication status: Published in Journal of Econometrics, vol. 177, n°1, novembre 2013, p. 47-59.
Handle: RePEc:tse:wpaper:27219
Contact details of provider: Phone: (+33) 5 61 12 86 23
Web page: http://www.tse-fr.eu/

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