The goal of this paper is to develop techniques to simplify semiparametric inference. We do this by deriving a number of numerical equivalence results. These illustrate that in many cases, one can obtain estimates of semiparametric variances using standard formulas derived in the...

In this note, we characterize the semiparametric efficiency bound for a class of semiparametric models in which the unknown nuisance functions are identified via nonparametric conditional moment restrictions with possibly non-nested or over-lapping conditioning sets, and the finite dimensional...

The paper introduces an estimator for the linear censored quantile regression model when the censoring point is an unknown function of a set of regressors. The objective function minimized is convex and the minimization problem is a linear programming problem, for which there is a global...

In models defined by unconditional moment restrictions, specification tests are possible and estimators can be ranked in terms of efficiency whenever the number of moment restrictions exceeds the number of parameters. We show that a similar relationship between potential refutability of a model...

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e., sup-norm) convergence rate (n/log n)^{-p/(2p+d)} of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal...

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 additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities...

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. For these models it is often difficult to verify...

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals. These models belong to the difficult (nonlinear) ill-posed inverse problems with unknown operators, and include all of the (nonlinear) nonparametric...

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. These models are often ill-posed and hence it is...