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We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the derivative with respect to first step nonparametric estimation is zero and equivalently first step estimation has no effect on the influence function. This construction consists of...
Persistent link: https://www.econbiz.de/10011824067
This chapter presents key concepts and theoretical results for analyzing estimation and inference in high-dimensional models. High-dimensional models are characterized by having a number of unknown parameters that is not vanishingly small relative to the sample size. We first present results in...
Persistent link: https://www.econbiz.de/10011865610
Structural estimation in economics often makes use of models formulated in terms of moment conditions. While these moment conditions are generally well-motivated, it is often unknown whether the moment restrictions hold exactly. We consider a framework where researchers model their belief about...
Persistent link: https://www.econbiz.de/10015419996
This paper examines a general class of inferential problems in semiparametric and nonparametric models defined by conditional moment restrictions. We construct tests for the hypothesis that at least one element of the identified set satisfies a conjectured (Banach space) "equality" and/or (a...
Persistent link: https://www.econbiz.de/10011337665
This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions have zero derivative with respect to the first step and the first step does not affect the asymptotic variance. They are constructed by adding to the moment functions the...
Persistent link: https://www.econbiz.de/10011517194
Persistent link: https://www.econbiz.de/10013382392
Shape restrictions have played a central role in economics as both testable implications of theory and sufficient conditions for obtaining informative counterfactual predictions. In this paper we provide a general procedure for inference under shape restrictions in identified and partially...
Persistent link: https://www.econbiz.de/10013332218
Persistent link: https://www.econbiz.de/10014309699
This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are a variety of economic applications where the problem of testing many moment in- equalities appears; a notable...
Persistent link: https://www.econbiz.de/10010459258
This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are variety of economic applications where the problem of testing many moment in- equalities appears; a notable...
Persistent link: https://www.econbiz.de/10011525823