SSRN Author: Xiaohong ChenXiaohong Chen SSRN Content
http://www.ssrn.com/author=30333
http://www.ssrn.com/rss/en-usThu, 06 Nov 2014 01:26:02 GMTeditor@ssrn.com (Editor)Thu, 06 Nov 2014 01:26:02 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0New: Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment ModelsThis paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. These models are often ill-posed and hence it is difficult to verify whether a (possibly nonlinear) functional is root-n estimable or not. We provide computationally simple, unified inference procedures that are asymptotically valid regardless of whether a functional is root-n estimable or not. We establish the following new useful results: (1) the asymptotic normality of a plug-in penalized sieve minimum distance (PSMD) estimator of a (possibly nonlinear) functional; (2) the consistency of simple sieve variance estimators for the plug-in PSMD estimator, and hence the asymptotic chi-square distribution of the sieve Wald statistic; (3) the asymptotic chi-square distribution of an optimally weighted sieve quasi likelihood ratio (QLR) test under ...
http://www.ssrn.com/abstract=2518456
http://www.ssrn.com/1348630.htmlWed, 05 Nov 2014 04:00:08 GMTNew: Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment ModelsThis paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. For these models it is often difficult to verify whether a functional is regular (i.e., root-n estimable) or irregular (i.e., slower than root-n estimable). We provide computationally simple, unified inference procedures that are asymptotically valid regardless of whether a functional is regular or not. We establish the following new useful results: (1) the asymptotic normality of a plug-in penalized sieve minimum distance (PSMD) estimator of a (possibly irregular) functional; (2) the consistency of simple sieve variance estimators of the plug-in PSMD estimator, and hence the asymptotic chi-square distribution of the sieve Wald statistic; (3) the asymptotic chi-square distribution of an optimally weighted sieve quasi likelihood ratio (QLR) test ...
http://www.ssrn.com/abstract=2420116
http://www.ssrn.com/1295711.htmlSat, 05 Apr 2014 10:35:11 GMT