Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
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DOI：
10.1016/j.jeconom.2009.02.002
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发表时间：
2009-09-01
影响因子：
6.3
通讯作者：
Pouzo, Demian
中科院分区：
文献类型：
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作者：
Chen, Xiaohong;Pouzo, Demian
本文考虑内生变量未知参数分量(？)和未知函数(H)残差可能为非光滑残差的条件矩模型的半参数有效估计。我们证明了：(1)在非紧函数参数空间下，惩罚筛子最小距离(PSMD)估计(帽上的(Theta)，(H)上的)可以同时达到帽上(Theta)的根n渐近正态和帽上(H)的非参数最优收敛速度：(2)简单的加权Bootstrap过程一致地估计了帽上的PSMD(Theta)的极限分布；(3)[Ai，C.，Chen，X.，2003]的半参数有效界公式。含有未知函数的条件矩约束模型的有效估计。Econometrica，71,1795-1843]对于具有非光滑残差的条件模型仍然有效，并且最优加权PSMD估计量达到了界；(4)中心、剖面最优加权PSMD准则是渐近卡方分布的。我们使用部分线性分位数工具变量(IV)回归、蒙特卡罗研究和形状不变的分位数IV恩格尔曲线的经验估计来说明我们的理论。(C)2009爱思唯尔B.V.保留所有权利。
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 ((theta) over cap, (h) over cap) can simultaneously achieve root-n asymptotic normality of (theta) over cap and nonparametric optimal convergence rate of (h) over cap, allowing for noncompact function parameter spaces: (2) a simple weighted bootstrap procedure consistently estimates the limiting distribution of the PSMD (theta) over cap; (3) the semiparametric efficiency bound formula of [Ai, C., Chen, X., 2003. Efficient estimation of models with conditional moment restrictions containing unknown functions. Econometrica, 71, 1795-1843] remains valid for conditional models with nonsmooth residuals, and the optimally weighted PSMD estimator achieves the bound; (4) the centered, profiled optimally weighted PSMD criterion is asymptotically chi-square distributed. We illustrate our theories using a partially linear quantile instrumental variables (IV) regression, a Monte Carlo study, and an empirical estimation of the shape-invariant quantile IV Engel curves. (c) 2009 Elsevier B.V. All rights reserved.