A limit theorem for a smooth class of semiparametric estimators
A limit theorem for a smooth class of semiparametric estimators
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DOI：
10.1016/0304-4076(94)01605-y
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发表时间：
1995
影响因子：
6.3
通讯作者：
A. Pakes;S. Olley
中科院分区：
文献类型：
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作者：
A. Pakes;S. Olley
我们考虑一个基于一组矩条件的计量模型，这些矩条件由有限维感兴趣的向量θ和无限维参数h索引，而h又取决于θ和另一个无限维参数τ。在θ = θ0处，总体矩条件为零。θ0的估计量是通过形成h和τ的非参数估计来获得的，将它们代入矩条件的样本模拟中，并选择使样本矩“尽可能接近”为零的θ值。利用独立性和光滑性假设，给出了结果估计量的相合性、√n相合性和渐近正态性证明。作为一个例子，我们考虑Olley和Pakes（1991）在估计生产函数时使用半参数技术来控制同时性和选择偏差。这个例子说明了如何使用半参数技术来克服计算问题和从结构模型中获得估计时对强函数形式限制的需要。它还说明了……的影响
We consider an econometric model based on a set of moment conditions which are indexed by both a finite-dimensional vector of interest, θ, and an infinite-dimensional parameter, h, which in turn depends upon both θ and another infinite-dimensional parameter, τ. The population moment conditions equal zero at θ = θ0. Estimators of θ0are obtained by forming nonparametric estimates of h and τ, substituting them into the sample analog of the moment conditions, and choosing that value of θ that makes the sample moments as ‘close as possible’ to zero. Using independence and smoothness assumptions the paper provides consistency, √n consistency, and asymptotic normality proofs for the resultant estimator. As an example, we consider Olley and Pakes' (1991) use of semiparametric techniques to control for both simultaneity and selection biases in estimating production functions. The example illustrates how semiparametric techniques an be used to overcome both computational problems and the need for strong functional form restrictions in obtaining estimates from structural models. It also illustrates the impacts of