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Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables

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Cited by:

  1. Wu, Ximing & Sickles, Robin, 2018. "Semiparametric estimation under shape constraints," Econometrics and Statistics, Elsevier, vol. 6(C), pages 74-89.
  2. Chen, Xiaohong & Pouzo, Demian, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," Journal of Econometrics, Elsevier, vol. 152(1), pages 46-60, September.
  3. Michael Jansson & Demian Pouzo, 2017. "Towards a General Large Sample Theory for Regularized Estimators," Papers 1712.07248, arXiv.org, revised Jul 2020.
  4. Xiaohong Chen & Andres Santos, 2018. "Overidentification in Regular Models," Econometrica, Econometric Society, vol. 86(5), pages 1771-1817, September.
  5. Sant’Anna, Pedro H.C. & Zhao, Jun, 2020. "Doubly robust difference-in-differences estimators," Journal of Econometrics, Elsevier, vol. 219(1), pages 101-122.
  6. Siddhartha Chib & Minchul Shin & Anna Simoni, 2022. "Bayesian estimation and comparison of conditional moment models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 740-764, July.
  7. Severini, Thomas A. & Tripathi, Gautam, 2012. "Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 491-498.
  8. Callaway, Brantly & Sant’Anna, Pedro H.C., 2021. "Difference-in-Differences with multiple time periods," Journal of Econometrics, Elsevier, vol. 225(2), pages 200-230.
  9. Daniel P. Miller, 2014. "Subcontracting and competitive bidding on incomplete procurement contracts," RAND Journal of Economics, RAND Corporation, vol. 45(4), pages 705-746, December.
  10. 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.
  11. Chen, Qihui, 2021. "Robust and optimal estimation for partially linear instrumental variables models with partial identification," Journal of Econometrics, Elsevier, vol. 221(2), pages 368-380.
  12. Pedro Carneiro & James J. Heckman & Edward Vytlacil, 2010. "Evaluating Marginal Policy Changes and the Average Effect of Treatment for Individuals at the Margin," Econometrica, Econometric Society, vol. 78(1), pages 377-394, January.
  13. Xiaohong Chen & Demian Pouzo, 2015. "Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models," Econometrica, Econometric Society, vol. 83(3), pages 1013-1079, May.
  14. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric Estimation With Generated Covariates," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1140-1177, October.
  15. Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins, 2022. "Locally Robust Semiparametric Estimation," Econometrica, Econometric Society, vol. 90(4), pages 1501-1535, July.
  16. Escanciano, Juan Carlos & Li, Wei, 2021. "Optimal Linear Instrumental Variables Approximations," Journal of Econometrics, Elsevier, vol. 221(1), pages 223-246.
  17. Hwang, Jungbin & Kang, Byunghoon & Lee, Seojeong, 2022. "A doubly corrected robust variance estimator for linear GMM," Journal of Econometrics, Elsevier, vol. 229(2), pages 276-298.
  18. Susan Athey & Stefan Wager, 2021. "Policy Learning With Observational Data," Econometrica, Econometric Society, vol. 89(1), pages 133-161, January.
  19. Heng Chen & Marie-Hélène Felt & Kim P. Huynh, 2017. "Retail payment innovations and cash usage: accounting for attrition by using refreshment samples," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 503-530, February.
  20. Xiaohong Chen & Demian Pouzo, 2014. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," CeMMAP working papers 38/14, Institute for Fiscal Studies.
  21. Hidehiko Ichimura & Whitney K. Newey, 2017. "The influence function of semiparametric estimators," CeMMAP working papers 06/17, Institute for Fiscal Studies.
  22. Ai, Chunrong & Gan, Li, 2010. "An alternative root-n consistent estimator for panel data binary choice models," Journal of Econometrics, Elsevier, vol. 157(1), pages 93-100, July.
  23. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn & Zhipeng Liao, 2014. "Asymptotic Efficiency of Semiparametric Two-step GMM," Review of Economic Studies, Oxford University Press, vol. 81(3), pages 919-943.
  24. 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, November.
  25. Raymond Carroll & Xiaohong Chen & Yingyao Hu, 2010. "Identification and estimation of nonlinear models using two samples with nonclassical measurement errors," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(4), pages 379-399.
  26. Chen, Jiafeng & Chen, Xiaohong & Tamer, Elie, 2023. "Efficient estimation of average derivatives in NPIV models: Simulation comparisons of neural network estimators," Journal of Econometrics, Elsevier, vol. 235(2), pages 1848-1875.
  27. Chaohua Dong & Jiti Gao, 2013. "Orthogonal Expansion of Levy Process Functionals: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 3/13, Monash University, Department of Econometrics and Business Statistics.
  28. Victor Chernozhukov & Whitney K. Newey & Andres Santos, 2023. "Constrained Conditional Moment Restriction Models," Econometrica, Econometric Society, vol. 91(2), pages 709-736, March.
  29. Breunig, Christoph & Mammen, Enno & Simoni, Anna, 2018. "Nonparametric estimation in case of endogenous selection," Journal of Econometrics, Elsevier, vol. 202(2), pages 268-285.
  30. Victor Chernozhukov & Whitney Newey & Rahul Singh & Vasilis Syrgkanis, 2020. "Adversarial Estimation of Riesz Representers," Papers 2101.00009, arXiv.org, revised Jan 2024.
  31. Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013. "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, vol. 4(1), pages 39-83, March.
  32. 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.
  33. Raymond Kan & Cesare Robotti, 0. "Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models," Journal of Financial Econometrics, Oxford University Press, vol. 18(4), pages 729-735.
  34. Chen, Xiaohong & Pouzo, Demian, 2008. "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments," Working Papers 47, Yale University, Department of Economics.
  35. Chen, Xiaohong & Pouzo, Demian & Powell, James L., 2019. "Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions," Journal of Econometrics, Elsevier, vol. 213(1), pages 30-53.
  36. Andrew Bennett & Nathan Kallus & Xiaojie Mao & Whitney Newey & Vasilis Syrgkanis & Masatoshi Uehara, 2023. "Source Condition Double Robust Inference on Functionals of Inverse Problems," Papers 2307.13793, arXiv.org.
  37. Santos, Andres, 2011. "Instrumental variable methods for recovering continuous linear functionals," Journal of Econometrics, Elsevier, vol. 161(2), pages 129-146, April.
  38. Bruce E. Hansen & Seojeong Lee, 2021. "Inference for Iterated GMM Under Misspecification," Econometrica, Econometric Society, vol. 89(3), pages 1419-1447, May.
  39. Hidehiko Ichimura & Whitney K. Newey, 2022. "The influence function of semiparametric estimators," Quantitative Economics, Econometric Society, vol. 13(1), pages 29-61, January.
  40. Przemysław Jeziorski, 2014. "Estimation of cost efficiencies from mergers: application to US radio," RAND Journal of Economics, RAND Corporation, vol. 45(4), pages 816-846, December.
  41. Ichimura, Hidehiko & Lee, Sokbae, 2010. "Characterization of the asymptotic distribution of semiparametric M-estimators," Journal of Econometrics, Elsevier, vol. 159(2), pages 252-266, December.
  42. Juan Carlos Escanciano & Lin Zhu, 2013. "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers 55/13, Institute for Fiscal Studies.
  43. 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.
  44. Francesco Bravo, 2022. "Misspecified semiparametric model selection with weakly dependent observations," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 558-586, July.
  45. Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013. "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, vol. 4(1), pages 39-83, March.
  46. Hidehiko Ichimura & Whitney K. Newey, 2015. "The influence function of semiparametric estimators," CeMMAP working papers CWP44/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  47. 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.
  48. Bang, Minji & Gao, Wayne Yuan & Postlewaite, Andrew & Sieg, Holger, 2023. "Using monotonicity restrictions to identify models with partially latent covariates," Journal of Econometrics, Elsevier, vol. 235(2), pages 892-921.
  49. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
  50. 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.
  51. Rahul Singh, 2021. "Debiased Kernel Methods," Papers 2102.11076, arXiv.org, revised Mar 2021.
  52. Sasaki, Yuya & Ura, Takuya, 2023. "Estimation and inference for policy relevant treatment effects," Journal of Econometrics, Elsevier, vol. 234(2), pages 394-450.
  53. Zhipeng Liao & Xiaoxia Shi, 2020. "A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models," Quantitative Economics, Econometric Society, vol. 11(3), pages 983-1017, July.
  54. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2012. "A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," The Review of Economics and Statistics, MIT Press, vol. 94(2), pages 481-498, May.
  55. Ming Li, 2021. "A Time-Varying Endogenous Random Coefficient Model with an Application to Production Functions," Papers 2110.00982, arXiv.org.
  56. Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
  57. James Wolter, 2015. "Asymptotics for Sieve Estimators of Hazard Rates: Estimating Hazard Functionals," Economics Series Working Papers 760, University of Oxford, Department of Economics.
  58. repec:hal:journl:peer-00741628 is not listed on IDEAS
  59. Andrew Bennett & Nathan Kallus & Xiaojie Mao & Whitney Newey & Vasilis Syrgkanis & Masatoshi Uehara, 2022. "Inference on Strongly Identified Functionals of Weakly Identified Functions," Papers 2208.08291, arXiv.org, revised Jun 2023.
  60. Jinyong Hahn & Geert Ridder, 2013. "Asymptotic Variance of Semiparametric Estimators With Generated Regressors," Econometrica, Econometric Society, vol. 81(1), pages 315-340, January.
  61. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," Cowles Foundation Discussion Papers 1803, Cowles Foundation for Research in Economics, Yale University.
  62. Chaohua Dong & Jiti Gao, 2012. "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers 2/12, Monash University, Department of Econometrics and Business Statistics.
  63. Jean‐Jacques Forneron, 2023. "A Sieve‐SMM Estimator for Dynamic Models," Econometrica, Econometric Society, vol. 91(3), pages 943-977, May.
  64. Qizhao Chen & Vasilis Syrgkanis & Morgane Austern, 2022. "Debiased Machine Learning without Sample-Splitting for Stable Estimators," Papers 2206.01825, arXiv.org, revised Nov 2022.
  65. Juan Carlos Escanciano & Lin Zhu, 2013. "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers CWP55/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  66. Daniel A. Ackerberg & Kevin Caves & Garth Frazer, 2015. "Identification Properties of Recent Production Function Estimators," Econometrica, Econometric Society, vol. 83, pages 2411-2451, November.
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