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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
ill-posed inverse problems such as semi-nonparametric mixtures or conditional moment restrictions. We review recent …, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. …
Persistent link: https://www.econbiz.de/10009024410
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Penalized sieve estimation and inference of semi-nonparametric dynamic models : a selective review
Chen, Xiaohong - 2011
; Dynamic asset pricing ; Varying coefficient VAR ; GARCH ; Copulas ; Value-at-risk … ill-posed inverse problems such as semi-nonparametric mixtures or conditional moment restrictions. We review recent …, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. -- Nonlinear time …
Persistent link: https://www.econbiz.de/10009230387
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Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models : A Selective Review
Chen, Xiaohong - 2011
ill-posed inverse problems such as semi-nonparametric mixtures or conditional moment restrictions. We review recent …, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results …
Persistent link: https://www.econbiz.de/10013124712
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Efficient information theoretic inference for conditional moment restrictions
Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005
The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...
Persistent link: https://www.econbiz.de/10005811463
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Local GEL methods for conditional moment restrictions
Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005
The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...
Persistent link: https://www.econbiz.de/10005727678
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Identifying the returns to lying when the truth is unobserved
Hu, Yingyao; Lewbel, Arthur - 2007
Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y. This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved D...
Persistent link: https://www.econbiz.de/10010277518
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Efficient information theoretic inference for conditional moment restrictions
Smith, Richard J. - 2005
The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...
Persistent link: https://www.econbiz.de/10010318448
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Identifying the returns to lying when the truth is unobserved
Hu, Yingyao; Lewbel, Arthur - 2007
Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y . This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved...
Persistent link: https://www.econbiz.de/10010318502
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Identifying the returns to lying when the truth is unobserved
Hu, Yingyao (contributor); Lewbel, Arthur (contributor) - 2007 - Rev.
Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y. This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved D...
Persistent link: https://www.econbiz.de/10003735947
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The influence function of semiparametric estimators
Ichimura, Hidehiko; Newey, Whitney K. - 2017 - Revised January 2017
There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as the...
Persistent link: https://www.econbiz.de/10011589040