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| Title: | | Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals  |
| Authors: | | Chen, Xiaohong Pouzo, Demian |
| Issue Date: | | 2009 |
| Series/Report no.: | | cemmap working paper CWP20/09 |
| Abstract: | | This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components (θ) and unknown functions (h) of endogenous variables. We show that: (1) the penalized sieve minimum distance(PSMD) estimator (ˆθ,ˆh) can simultaneously achieve root-n asymptotic normality of ˆθ and nonparametric optimal convergence rate of h, allowing for noncompact function parameter spaces; (2) a simple weighted bootstrap procedure consistently estimates the limiting distribution of the PSMD ˆθ ; (3) the semiparametric efficiency bound formula of Ai and Chen (2003) 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. |
| Subjects: | | Penalized sieve minimum distance Nonsmooth generalized residuals Nonlinear nonparametric endogeneity Weighted bootstrap Semiparametric efficiency Confidence region Partially linear quantile IV regression Shape-invariant quantile IV Engel curves |
| JEL: | | C14 C22 |
| Persistent Identifier of the first edition: | | doi:10.1920/wp.cem.2009.2009 |
| Document Type: | | Working Paper |
| Appears in Collections: | | cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)
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