scholarly journals Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods

2020 ◽  
Author(s):  
Jesper Riis-Vestergaard Sørensen
Keyword(s):  
Conditional Moment ◽  
Moment Restriction

SEMIPARAMETRIC EFFICIENCY BOUNDS FOR CONDITIONAL MOMENT RESTRICTION MODELS WITH DIFFERENT CONDITIONING VARIABLES

2015 ◽  
Vol 32 (4) ◽  
pp. 917-946 ◽  
Author(s):  
Marian Hristache ◽  
Valentin Patilea
Keyword(s):  
Regression Models ◽  
Supply And Demand ◽  
Simultaneous Equations ◽  
Conditional Moment ◽  
Efficient Score ◽  
Semiparametric Efficiency ◽  
Regression Quantile ◽  
New Applications ◽  
Theoretical Results ◽  
Moment Restriction

This paper addresses the problem of semiparametric efficiency bounds for conditional moment restriction models with different conditioning variables. We characterize such an efficiency bound, that in general is not explicit, as a limit of explicit efficiency bounds for a decreasing sequence of unconditional (marginal) moment restriction models. An iterative procedure for approximating the efficient score when this is not explicit is provided. Our theoretical results provide new insight for the theory of semiparametric efficiency bounds literature and open the door to new applications. In particular, we investigate a class of regression-like (mean regression, quantile regression,…) models with missing data, an example of a supply and demand simultaneous equations model and a generalized bivariate dichotomous model.

scholarly journals A NOTE ON GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION OF SEMIPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS

2016 ◽  
Vol 33 (5) ◽  
pp. 1242-1258 ◽  
Author(s):  
Naoya Sueishi
Keyword(s):  
Empirical Likelihood ◽  
Estimation Method ◽  
Likelihood Estimation ◽  
Unknown Parameters ◽  
Conditional Moment ◽  
Finite Dimensional ◽  
Dimensional Parameters ◽  
Image Position ◽  
Asymptotically Efficient ◽  
Moment Restriction

This paper proposes an empirical likelihood-based estimation method for semiparametric conditional moment restriction models, which contain finite dimensional unknown parameters and unknown functions. We extend the results of Donald, Imbens, and Newey (2003, Journal of Econometrics 117, 55–93) by allowing unknown functions to be included in the conditional moment restrictions. We approximate unknown functions by a sieve method and estimate the finite dimensional parameters and unknown functions jointly. We establish consistency and derive the convergence rate of the estimator. We also show that the estimator of the finite dimensional parameters is $\sqrt n$-consistent, asymptotically normally distributed, and asymptotically efficient.

scholarly journals Constrained conditional moment restriction models

2015 ◽  
Author(s):  
Victor Chernozhukov ◽  
Whitney K. Newey ◽  
Andres Santos
Keyword(s):  
Conditional Moment ◽  
Moment Restriction

scholarly journals CONDITIONAL MOMENT RESTRICTIONS IN CENSORED AND TRUNCATED REGRESSION MODELS

2001 ◽  
Vol 17 (5) ◽  
pp. 863-888 ◽  
Author(s):  
Whitney K. Newey
Keyword(s):  
Regression Models ◽  
Efficient Estimation ◽  
Truncated Regression ◽  
Conditional Moment ◽  
Weighted Version ◽  
Unknown Distribution ◽  
Consistent Estimators ◽  
Semiparametric Efficiency Bound ◽  
Moment Restrictions ◽  
Moment Restriction

Censored and truncated regression models with unknown distribution are important in econometrics. This paper characterizes the class of all conditional moment restrictions that lead to √n-consistent estimators for these models. The semiparametric efficiency bound for each conditional moment restriction is derived. In the case of a nonzero bound it is shown how an estimator can be constructed and that an appropriately weighted version can attain the efficiency bound. These estimators also work when the disturbance is independent of the regressors. The paper discusses combining conditional moment restrictions for more efficient estimation in this case.

Model-selection tests for conditional moment restriction models

2017 ◽  
Vol 20 (1) ◽  
pp. 52-85 ◽  
Author(s):  
Yu-Chin Hsu ◽  
Xiaoxia Shi
Keyword(s):  
Model Selection ◽  
Conditional Moment ◽  
Moment Restriction

Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

Econometrica ◽  
2004 ◽  
Vol 72 (6) ◽  
pp. 1667-1714 ◽  
Author(s):  
Yuichi Kitamura ◽  
Gautam Tripathi ◽  
Hyungtaik Ahn
Keyword(s):  
Empirical Likelihood ◽  
Conditional Moment ◽  
Moment Restriction
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