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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...
Persistent link: https://www.econbiz.de/10010336485
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Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic
Chen, Xiaohong; Lee, Sokbae; Seo, Myung Hwan; Song, … - 2024
Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...
Persistent link: https://www.econbiz.de/10015149596
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LASSO-driven inference in time and space
Chernozhukov, Victor; Härdle, Wolfgang; Huang, Chen; … - 2018
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of large-scale regressions with LASSO is applied to...
Persistent link: https://www.econbiz.de/10011865621
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LASSO-driven inference in time and space
Chernozhukov, Victor; Härdle, Wolfgang; Huang, Chen; … - 2019
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of regressions with many regressors using LASSO...
Persistent link: https://www.econbiz.de/10012003693
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High dimensional semiparametric moment restriction models
Dong, Chaohua; Gao, Jiti; Linton, Oliver - 2018
divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method … dealing with the nonparametric parameter. The consistency and normality for the GMM estimators are established. Meanwhile, a … restriction models. In addition, the potential sparsity under our setting is investigated via the combination of GMM methodology …
Persistent link: https://www.econbiz.de/10011775182
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High dimensional semiparametric moment restriction models
Dong, Chaohua; Gao, Jiti; Linton, Oliver - 2018
method based on the sieve generalized method of moments (sieve GMM). We establish consistency and asymptotic normality for … model exhibits sparsity. We use a penalized sieve GMM approach to select the relevant variables, and establish the oracle …
Persistent link: https://www.econbiz.de/10011938037
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GEL-based inference with unconditional moment inequality restrictions
Grant, Nicky L.; Smith, Richard J. - 2018 - This draft: August 2017
function and that for generalised method of moments (GMM) with weight matrix equal to the inverse of the efficient GMM metric … for GMM for the non-diagonal GMM weight matrix setting. The paper demonstrates that GMM in such circumstances delivers a … GMM with a non-diagonal weight matrix and GEL. A simulation study examines the efficacy of the non-diagonal GMM and GEL …
Persistent link: https://www.econbiz.de/10011812336
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Is it different for zeros? : discriminating between models for non-negative data with many zeros
Silva, João Santos; Tenreyro, Silvana; Windmeijer, Frank - 2010
In many economic applications, the variate of interest is non-negative and its distribution is characterized by a mass-point at zero and a long right-tail. Many regression strategies have been proposed to deal with data of this type. Although there has been a long debate in the literature on the...
Persistent link: https://www.econbiz.de/10003990119
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Local identification of nonparametric and semiparametric models
Chen, Xiaohong; Chernozhukov, Victor; Lee, Sokbae; … - 2011
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...
Persistent link: https://www.econbiz.de/10009127271
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Quantile regression with censoring and endogeneity
Chernozhukov, Victor; Fernández-Val, Iván; Kowalski, … - 2011
In this paper, we develop a new censored quantile instrumental variable (CQIV)estimator and describe its properties and computation. The CQIV estimator combines Powell(1986) censored quantile regression (CQR) to deal semiparametrically with censoring, with a control variable approach to...
Persistent link: https://www.econbiz.de/10009153243