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Citations for "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models"

by Andrews, Donald W K

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  1. David Jacho-Chavez & Arthur Lewbel & Oliver Linton, 2006. "Identification and Nonparametric Estimation of a Transformed Additively Separable Model," Boston College Working Papers in Economics 652, Boston College Department of Economics, revised 26 Nov 2008.
  2. Andrew J. Patton & Allan Timmermann, 2005. "Testable implications of forecast optimality," LSE Research Online Documents on Economics 6834, London School of Economics and Political Science, LSE Library.
  3. Gupta, Abhimanyu, 2015. "Nonparametric specification testing via the trinity of tests," Economics Discussion Papers 15619, University of Essex, Department of Economics.
  4. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
  5. FLORENS, Jean-Pierre & JOHANNES, Jan & VAN BELLEGEM, Sébastien, 2006. "Instrumental regression in partially linear models," CORE Discussion Papers 2006025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Gordon B. Dahl, 2002. "Mobility and the Return to Education: Testing a Roy Model with Multiple Markets," Econometrica, Econometric Society, vol. 70(6), pages 2367-2420, November.
  7. Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2008. "Improving point and interval estimates of monotone functions by rearrangement," CeMMAP working papers CWP17/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. Andrew J. Patton, 2009. "Are "Market Neutral" Hedge Funds Really Market Neutral?," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2295-2330, July.
  9. Jan De Loecker & Jozef Konings, 2003. "Creative Destruction and Productivity Growth in an Emerging Economy Evidence from Slovenian Manufacturing," LICOS Discussion Papers 13803, LICOS - Centre for Institutions and Economic Performance, KU Leuven.
  10. Park, Joon Y. & Shin, Kwanho & Whang, Yoon-Jae, 2010. "A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving," Journal of Econometrics, Elsevier, vol. 157(1), pages 165-178, July.
  11. Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2013. "On the asymptotic theory for least squares series: pointwise and uniform results," CeMMAP working papers CWP73/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  12. Patrick Bajari & Jeremy T. Fox & Stephen P. Ryan, 2007. "Linear Regression Estimation of Discrete Choice Models with Nonparametric Distributions of Random Coefficients," American Economic Review, American Economic Association, vol. 97(2), pages 459-463, May.
  13. Arthur Lewbel & Oliver Linton, 2003. "Nonparametric Estimation of Homothetic and Homothetically Separable Functions," STICERD - Econometrics Paper Series 461, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  14. Gao, Jiti & Tong, Howell & Wolff, Rodney, 2002. "Model Specification Tests in Nonparametric Stochastic Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 324-359, November.
  15. Biqing Cai & Jiti Gao, 2013. "Hermite Series Estimation in Nonlinear Cointegrating Models," Monash Econometrics and Business Statistics Working Papers 17/13, Monash University, Department of Econometrics and Business Statistics.
  16. Chen, Xiaohong & Liao, Zhipeng, 2014. "Sieve M inference on irregular parameters," Journal of Econometrics, Elsevier, vol. 182(1), pages 70-86.
  17. repec:gam:jecnmx:v:4:y:2016:i:1:p:6:d:63356 is not listed on IDEAS
  18. Donald W.K. Andrews & Yoon-Jae Whang, 1989. "Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality," Cowles Foundation Discussion Papers 925, Cowles Foundation for Research in Economics, Yale University.
  19. William C. Horrace & Xiaodong Liu & Eleonora Patacchini, 2014. "Endogenous Network Production Functions with Selectivity," Center for Policy Research Working Papers 168, Center for Policy Research, Maxwell School, Syracuse University.
  20. Li, Qi, 1996. "On the root-N-consistent semiparametric estimation of partially linear models," Economics Letters, Elsevier, vol. 51(3), pages 277-285, June.
  21. Ai, Chunrong & McFadden, Daniel, 1997. "Estimation of some partially specified nonlinear models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 1-37.
  22. Pinkse, Joris, 1998. "A consistent nonparametric test for serial independence," Journal of Econometrics, Elsevier, vol. 84(2), pages 205-231, June.
  23. Donald W.K. Andrews, 1989. "Asymptotic Optimality of Generalized C_{L}, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors," Cowles Foundation Discussion Papers 906, Cowles Foundation for Research in Economics, Yale University.
  24. Chen, Xiaohong & Christensen, Timothy M., 2015. "Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions," Journal of Econometrics, Elsevier, vol. 188(2), pages 447-465.
  25. Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2003. "Empirical likelihood estimation and consistent tests with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 117(1), pages 55-93, November.
  26. repec:wyi:journl:002160 is not listed on IDEAS
  27. Das, M., 2005. "Instrumental variables estimators of nonparametric models with discrete endogenous regressors," Journal of Econometrics, Elsevier, vol. 124(2), pages 335-361, February.
  28. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
  29. Tauchen, George E. & Harold Zhang & Ming Liu, 1995. "Volume, Volatility and Leverage: A Dynamic Analysis," Working Papers 95-02, Duke University, Department of Economics.
  30. Nina Pavcnik, 2002. "Trade Liberalization, Exit, and Productivity Improvements: Evidence from Chilean Plants," Review of Economic Studies, Oxford University Press, vol. 69(1), pages 245-276.
  31. Ai, Chunrong & Li, Hongjun & Lin, Zhongjian & Meng, Meixia, 2015. "Estimation of panel data partly specified Tobit regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 316-326.
  32. Koenker, Roger & Machado, Jose A. F., 1999. "GMM inference when the number of moment conditions is large," Journal of Econometrics, Elsevier, vol. 93(2), pages 327-344, December.
  33. Victor Chernozhukov & Sokbae Lee & Adam M. Rosen, 2013. "Intersection Bounds: Estimation and Inference," Econometrica, Econometric Society, vol. 81(2), pages 667-737, 03.
  34. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
  35. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
  36. Peter M. Robinson, 2002. "Denis Sargan: some perspectives," LSE Research Online Documents on Economics 2263, London School of Economics and Political Science, LSE Library.
  37. Patrick Bajari & Chenghuan Sean Chu & Denis Nekipelov & Minjung Park, 2013. "A Dynamic Model of Subprime Mortgage Default: Estimation and Policy Implications," NBER Working Papers 18850, National Bureau of Economic Research, Inc.
  38. White, Halbert & Hong, Yongmiao, 1999. "M-Testing Using Finite and Infinite Dimensional Parameter Estimators," University of California at San Diego, Economics Working Paper Series qt9qz123ng, Department of Economics, UC San Diego.
  39. Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
  40. Xiaohong Chen & David T. Jacho-Chávez & Oliver Linton, 2009. "An Alternative Way of ComputingEfficient Instrumental VariableEstimators," STICERD - Econometrics Paper Series 536, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  41. Joris Pinkse, 2000. "Feasible Multivariate Nonparametric Estimation Using Weak Separability," Econometric Society World Congress 2000 Contributed Papers 1241, Econometric Society.
  42. Landajo, Manuel & de Andres, Javier & Lorca, Pedro, 2007. "Robust neural modeling for the cross-sectional analysis of accounting information," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1232-1252, March.
  43. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
  44. Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 277-318.
  45. Eric V. Edmonds, 2005. "Does Child Labor Decline with Improving Economic Status?," Journal of Human Resources, University of Wisconsin Press, vol. 40(1).
  46. Mitali Das, 2000. "Instrumental Variables Estimation of Nonparametric Models with Discrete Endogenous Regressors," Econometric Society World Congress 2000 Contributed Papers 1008, Econometric Society.
  47. Arthur Lewbel & Oliver Linton, 2003. "Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions," Boston College Working Papers in Economics 585, Boston College Department of Economics, revised 04 Sep 2006.
  48. James J. Heckman, 2001. "Micro Data, Heterogeneity, and the Evaluation of Public Policy: Nobel Lecture," Journal of Political Economy, University of Chicago Press, vol. 109(4), pages 673-748, August.
  49. Jungyoon Lee & Peter M. Robinson, 2013. "Series estimation under cross-sectional dependence," LSE Research Online Documents on Economics 58188, London School of Economics and Political Science, LSE Library.
  50. Linton, Oliver, 1996. "Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 12(01), pages 30-60, March.
  51. De Loecker, Jan, 2007. "Do exports generate higher productivity? Evidence from Slovenia," Journal of International Economics, Elsevier, vol. 73(1), pages 69-98, September.
  52. Marcia M Schafgans & Victoria Zinde-Walsh, 2000. "On Intercept Estimation in the Sample Selection Model," STICERD - Econometrics Paper Series 380, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  53. Su, Liangjun & Jin, Sainan, 2012. "Sieve estimation of panel data models with cross section dependence," Journal of Econometrics, Elsevier, vol. 169(1), pages 34-47.
  54. Shujie Ma & Jeffrey S. Racine & Aman Ullah, 2015. "Nonparametric Regression-Spline Random Effects Models," Department of Economics Working Papers 2015-10, McMaster University.
  55. Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2002. "On Intercept Estimation In The Sample Selection Model," Econometric Theory, Cambridge University Press, vol. 18(01), pages 40-50, February.
  56. De Loecker, Jan & Konings, Jozef, 2006. "Job reallocation and productivity growth in a post-socialist economy: Evidence from Slovenian manufacturing," European Journal of Political Economy, Elsevier, vol. 22(2), pages 388-408, June.
  57. Fenton, Victor M. & Gallant, A. Ronald, 1996. "Qualitative and asymptotic performance of SNP density estimators," Journal of Econometrics, Elsevier, vol. 74(1), pages 77-118, September.
  58. de Andres, Javier & Landajo, Manuel & Lorca, Pedro, 2005. "Forecasting business profitability by using classification techniques: A comparative analysis based on a Spanish case," European Journal of Operational Research, Elsevier, vol. 167(2), pages 518-542, December.
  59. Nitya Pandalai Nayar & Aaron Flaaen & Christoph Boehm, 2016. "Multinationals, Offshoring and the Decline of U.S. Manufacturing," 2016 Meeting Papers 584, Society for Economic Dynamics.
  60. 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.
  61. Peter M. Robinson, 2003. "Denis Sargan: some perspectives," LSE Research Online Documents on Economics 292, London School of Economics and Political Science, LSE Library.
  62. Robert Breunig & Marn-Heong Wong, 2004. "Australia's Firm-level Productivity - a New Perspective," Econometric Society 2004 Australasian Meetings 177, Econometric Society.
  63. Peter M Robinson, 2002. "Denis Sargan: Some Perspectives," STICERD - Econometrics Paper Series 437, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  64. de Jong, Robert M., 1998. "Uniform laws of large numbers and stochastic Lipschitz-continuity," Journal of Econometrics, Elsevier, vol. 86(2), pages 243-268, June.
  65. Das, M., 2003. "Identification and sequential estimation of panel data models with insufficient exclusion restrictions," Journal of Econometrics, Elsevier, vol. 114(2), pages 297-328, June.
  66. Sangin Park, 2000. "Semiparametric Instrumental Variables Estimation and Its Application to Dynamic Oligopoly," Econometric Society World Congress 2000 Contributed Papers 0432, Econometric Society.
  67. Chen, Songnian, 1997. "Semiparametric estimation of the Type-3 Tobit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 1-34, September.
  68. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
  69. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  70. Jungyoon Lee & Peter M Robinson, 2013. "Series Estimation under Cross-sectional Dependence," STICERD - Econometrics Paper Series 570, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  71. repec:cep:stiecm:/2013/570 is not listed on IDEAS
  72. Biqing Cai & Chaohua Dong & Jiti Gao, 2015. "Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity," Monash Econometrics and Business Statistics Working Papers 18/15, Monash University, Department of Econometrics and Business Statistics.
  73. Marcia M. A. Schafgans, 2000. "On Intercept Estimation in the Sample Selection Model," Econometric Society World Congress 2000 Contributed Papers 0730, Econometric Society.
  74. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
  75. Olley, G Steven & Pakes, Ariel, 1996. "The Dynamics of Productivity in the Telecommunications Equipment Industry," Econometrica, Econometric Society, vol. 64(6), pages 1263-1297, November.
  76. Ai, Chunrong & Chen, Xiaohong, 2012. "The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," Journal of Econometrics, Elsevier, vol. 170(2), pages 442-457.
  77. Hujer Reinhard & Grammig Joachim & Kokot Stefan, 2000. "Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 220(6), pages 689-714, December.
  78. Poirier, Alexandre, 2017. "Efficient estimation in models with independence restrictions," Journal of Econometrics, Elsevier, vol. 196(1), pages 1-22.
  79. Abadie, Alberto, 2003. "Semiparametric instrumental variable estimation of treatment response models," Journal of Econometrics, Elsevier, vol. 113(2), pages 231-263, April.
  80. Müller, Ursula U. & Schick, Anton & Wefelmeyer, Wolfgang, 2014. "Testing for additivity in partially linear regression with possibly missing responses," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 51-61.
  81. Mustafa Koroglu & Yiguo Sun, 2016. "Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-6, February.
  82. repec:esx:essedp:774 is not listed on IDEAS
  83. Nishiyama, Y., 2004. "Minimum normal approximation error bandwidth selection for averaged derivatives," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 53-61.
  84. Edmonds, Eric V., 2002. "Government-initiated community resource management and local resource extraction from Nepal's forests," Journal of Development Economics, Elsevier, vol. 68(1), pages 89-115, June.
  85. John C. Chao & Norman Rasmus Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Yale School of Management Working Papers ysm374, Yale School of Management.
  86. Robert Breunig & Marn-Heong Wong, 2008. "A Richer Understanding of Australia's Productivity Performance in the 1990s: Improved Estimates Based Upon Firm-Level Panel Data," The Economic Record, The Economic Society of Australia, vol. 84(265), pages 157-176, 06.
  87. Pakes, Ariel & Olley, Steven, 1995. "A limit theorem for a smooth class of semiparametric estimators," Journal of Econometrics, Elsevier, vol. 65(1), pages 295-332, January.
  88. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355.
  89. Girma, Sourafel & Wakelin, Katharine, 2001. "Regional Underdevelopment: Is FDI the Solution? A Semiparametric Analysis," CEPR Discussion Papers 2995, C.E.P.R. Discussion Papers.
  90. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
  91. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
  92. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
  93. Chen, Songnian, 1999. "Distribution-free estimation of the random coefficient dummy endogenous variable model," Journal of Econometrics, Elsevier, vol. 91(1), pages 171-199, July.
  94. Chunrong Ai & Xiaohong Chen, 2009. "Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions," Cowles Foundation Discussion Papers 1731, Cowles Foundation for Research in Economics, Yale University.
  95. Songnian Chen & Yahong Zhou, 2005. "A Simple Matching Method for Estimating Sample Selection Models Using Experimental Data," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 155-167, May.
  96. Lai, Peng & Meng, Jie & Lian, Heng, 2015. "Polynomial spline approach for variable selection and estimation in varying coefficient models for time series data," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 21-27.
  97. Lewbel, Arthur, 1995. "Consistent nonparametric hypothesis tests with an application to Slutsky symmetry," Journal of Econometrics, Elsevier, vol. 67(2), pages 379-401, June.
  98. Cattaneo, Matias D. & Farrell, Max H., 2013. "Optimal convergence rates, Bahadur representation, and asymptotic normality of partitioning estimators," Journal of Econometrics, Elsevier, vol. 174(2), pages 127-143.
  99. Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Kato, Kengo, 2015. "Some new asymptotic theory for least squares series: Pointwise and uniform results," Journal of Econometrics, Elsevier, vol. 186(2), pages 345-366.
  100. Alberto Abadie, 2000. "Semiparametric Estimation of Instrumental Variable Models for Causal Effects," NBER Technical Working Papers 0260, National Bureau of Economic Research, Inc.
  101. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
  102. Gao, Jiti, 1994. "Asymptotic theory for partly linear models," MPRA Paper 40452, University Library of Munich, Germany, revised 02 Dec 1994.
  103. Maria Fraga O. Martins, 2001. "Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 23-39.
  104. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76 Elsevier.
  105. Schafgans, Marcia M. A., 2000. "Gender wage differences in Malaysia: parametric and semiparametric estimation," Journal of Development Economics, Elsevier, vol. 63(2), pages 351-378, December.
  106. Patrick Bajari & Chenghuan Sean Chu & Denis Nekipelov & Minjung Park, 2016. "Identification and semiparametric estimation of a finite horizon dynamic discrete choice model with a terminating action," Quantitative Marketing and Economics (QME), Springer, vol. 14(4), pages 271-323, December.
  107. A. de Palma & C. Fontan & O. Mekkaoui, 2000. "Trip Timing for Public Transportation : An Empirical Application," THEMA Working Papers 2000-19, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  108. Fabio A. Miessi Sanches & Daniel Silva Junior, Sorawoot Srisuma, 2015. "Minimum Distance Estimation of Search Costs using Price Distribution," Working Papers, Department of Economics 2015_31, University of São Paulo (FEA-USP).
  109. Das, M., 2004. "Simple estimators for nonparametric panel data models with sample attrition," Journal of Econometrics, Elsevier, vol. 120(1), pages 159-180, May.
  110. Lee, Jungyoon & Robinson, Peter M., 2016. "Series estimation under cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 190(1), pages 1-17.
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