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  • Search: subject:"penalized sieve minimum distance"
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Year of publication
Subject
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Penalized sieve minimum distance 12 Irregular functional 5 Nichtparametrisches Verfahren 5 Nonlinear ill-posed inverse 5 Nonlinear nonparametric instrumental variables 5 Sieve quasi likelihood ratio 5 Generalized residual bootstrap 4 Local power 4 Schätztheorie 4 Sieve Wald 4 Sieve variance estimators 4 Bootstrap-Verfahren 3 Modulus of continuity 3 Conditional moment restrictions 2 Confidence region 2 Convergence rate 2 Copulas 2 Dynamic asset pricing 2 GARCH 2 Mixtures 2 Nonlinear nonparametric endogeneity 2 Nonlinear time series 2 Nonparametric additive quantile IV 2 Nonparametric endogeneity 2 Nonsmooth generalized residuals 2 Partially linear quantile IV regression 2 Penalized sieve M estimation 2 Quantile IV Engel curves 2 Semiparametric efficiency 2 Semiparametric two-step 2 Shape-invariant quantile IV Engel curves 2 Tail dependence 2 Temporal dependence 2 Value-at-risk 2 Varying coefficient VAR 2 Weighted bootstrap 2 Wilks phenomenon 2 ARCH-Modell 1 Asymptotic normality 1 Average derivative of a nonparametric nonlinear IV regression 1
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Online availability
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Free 14
Type of publication
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Book / Working Paper 14
Type of publication (narrower categories)
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Working Paper 6 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 10 Undetermined 4
Author
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Chen, Xiaohong 14 Pouzo, Demian 12
Institution
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Cowles Foundation for Research in Economics, Yale University 8
Published in...
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Cowles Foundation Discussion Papers 8 cemmap working paper 5 CEMMAP working papers / Centre for Microdata Methods and Practice 1
Source
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RePEc 8 EconStor 5 ECONIS (ZBW) 1
Showing 1 - 10 of 14
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Sieve Wald and QLR inferences on semi/ nonparametric conditional moment models
Chen, Xiaohong; Pouzo, Demian - 2014
of a plug-in penalized sieve minimum distance (PSMD) estimator of a (possibly nonlinear) functional; (2) the consistency …
Persistent link: https://www.econbiz.de/10011282658
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Sieve Wald and QLR inferences on semi/ nonparametric conditional moment models
Chen, Xiaohong; Pouzo, Demian - 2014 - Rev. version: August 2014
of a plug-in penalized sieve minimum distance (PSMD) estimator of a (possibly nonlinear) functional; (2) the consistency …
Persistent link: https://www.econbiz.de/10010403489
Saved in:
Cover Image
Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models
Chen, Xiaohong; Pouzo, Demian - Cowles Foundation for Research in Economics, Yale University - 2013
of a plug-in penalized sieve minimum distance (PSMD) estimator of a (possibly irregular) functional; (2) the consistency …
Persistent link: https://www.econbiz.de/10010895647
Saved in:
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Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models
Chen, Xiaohong; Pouzo, Demian - Cowles Foundation for Research in Economics, Yale University - 2013
of the plug-in penalized sieve minimum distance (PSMD) estimators of the (possibly irregular) functionals; (2) the …
Persistent link: https://www.econbiz.de/10010895693
Saved in:
Cover Image
Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models
Chen, Xiaohong; Pouzo, Demian - Cowles Foundation for Research in Economics, Yale University - 2013
of a plug-in penalized sieve minimum distance (PSMD) estimator of a (possibly nonlinear) functional; (2) the consistency …
Persistent link: https://www.econbiz.de/10010960378
Saved in:
Cover Image
Penalized sieve estimation and inference of semi-nonparametric dynamic models: A selective review
Chen, Xiaohong - 2011
In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...
Persistent link: https://www.econbiz.de/10010288336
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Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review
Chen, Xiaohong - Cowles Foundation for Research in Economics, Yale University - 2011
In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...
Persistent link: https://www.econbiz.de/10009024410
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Cover Image
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Chen, Xiaohong; Pouzo, Demian - 2009
sieve minimum distance(PSMD) estimator (ˆθ,ˆh) can simultaneously achieve root-n asymptotic normality of ˆθ and … in unknown parametric components (θ) and unknown functions (h) of endogenous variables. We show that: (1) the penalized …
Persistent link: https://www.econbiz.de/10010288409
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Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Chen, Xiaohong; Pouzo, Demian - 2008
For semi/nonparametric conditional moment models containing unknown parametric components θ and unknown functions of endogenous variables (h), Newey and Powell (2003) and Ai and Chen (2003) propose sieve minimum distance (SMD) estimation of (θ, h) and derive the large sample properties. This...
Persistent link: https://www.econbiz.de/10010318487
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Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Chen, Xiaohong; Pouzo, Demian - 2008
penalized sieve minimum distance (SMD) estimator of the unknown functions that are identified via the conditional moment models …
Persistent link: https://www.econbiz.de/10010288447
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