Search Results - subject:"Semi- parametric Efficiency"

Double robustness for complier parameters and a semi-parametric test for complier characteristics

Singh, Rahul; Sun, Liyang - In: The econometrics journal 27 (2024) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10014528085

Endogeneity in ultrahigh dimension

Fan, Jianqing; Liao, Yuan - Volkswirtschaftliche Fakultät, … - 2012

under the over-identication assumption. Finally, we also show how the semi-parametric efficiency of estimation can be …

Persistent link: https://www.econbiz.de/10011109827

Optimal smoothing for a computationally and statistically efficient single index estimator

Xia, Yingcun; Härdle, Wolfgang Karl; Linton, Oliver - 2009

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical...

Persistent link: https://www.econbiz.de/10010274155

Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator

Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Persistent link: https://www.econbiz.de/10005051669

Efficiency in Large Dynamic Panel Models with Common Factor

GAGLIARDINI, Patrick; GOURIEROUX, Christian - 2008

This paper deals with efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. The specification accounts for both micro- and macro-dynamics, induced by the lagged individual observation and the common stochastic factor, respectively. For large...

Persistent link: https://www.econbiz.de/10005258352

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard J. - 2005

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

Persistent link: https://www.econbiz.de/10010318448

Local gel methods for conditional moment restrictions

Smith, Richard J. - 2005

The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...

Persistent link: https://www.econbiz.de/10010318464

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

- crepancy, GMM, Semi-Parametric Eﬃciency. ∗ This is a revision of aspects of an Invited Paper entitled “Local GEL Estimation … estimators which achieve the semi-parametric eﬃciency lower bound. Tripathi and Kitamura (2003), henceforth TK, propose an EL … estimator facilitates intuition for the semi-parametric eﬃciency of the local Cressie-Read MD estimator. The structure of these …

Persistent link: https://www.econbiz.de/10005811463

Local GEL methods for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

(1997, 2001) and Newey and Smith (2004). In particular we develop GEL estimators which achieve the semi-parametric eﬃciency …: Conditional Moment Restrictions, Local Generalized Empirical Likeli- hood, GMM, Semi-Parametric Eﬃciency. ∗ This is a revision of … local GEL estimator facil- itates an intuition for the semi-parametric eﬃciency of the local GEL estimator. The structure of …

Persistent link: https://www.econbiz.de/10005727678

The singularity of the information matrix of the mixed proportional hazard model

Ridder, Geert; Woutersen, Tiemen - 2002

Elbers and Ridder (1982) identify the Mixed Proportional Hazard model by assuming that the heterogeneity has finite mean. Under this assumption, the information matrix of the MPH model may be singular. Moreover, the finite mean assumption cannot be tested. This paper proposes a new...

Persistent link: https://www.econbiz.de/10010292025