This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the dimensions of the moment restrictions and the parameters diverge along with the sample size. The...

Parametric mixture models are commonly used in applied work, especially empirical economics, where these models are often employed to learn for example about the proportions of various types in a given population. This paper examines the inference question on the proportions (mixing probability)...

This paper presents sieve inferences on possibly irregular (i.e., slower than root-n estimable) functionals of semi-nonparametric models with i.i.d. data. We provide a simple consistent variance estimator of the plug-in sieve M estimator of a possibly irregular functional, and the asymptotic...

This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. Our results extend those of Chamberlain (1992b) and Ai and Chen (2003) for semiparametric conditional moment...

This paper establishes the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi-nonparametric time series models. We show that, even when the sieve score process is not a martingale difference sequence, the asymptotic variance in the case of irregular...

This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components ([theta]) and unknown functions (h) of endogenous variables. We show that: (1) the penalized sieve minimum distance (PSMD) estimator can...

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: [rho]-mixing, [beta]-mixing and [alpha]-mixing. Stationary diffusions that are [rho]-mixing have mixing coefficients that...

We study estimation and model selection of semiparametric models of multivariate survival functions for censored data, which are characterized by possibly misspecified parametric copulas and nonparametric marginal survivals. We obtain the consistency and root-n asymptotic normality of a two-step...