Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals

Journal of Econometrics

Volumn 152, Issue 1, 2009, Pages 46-60

  Chen, Xiaohong ^a   Pouzo, Demian ^b  

^a YALE UNIVERSITY   (United States)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Confidence region; Nonlinear nonparametric endogeneity; Nonsmooth generalized residuals; Partially linear quantile IV regression; Penalized sieve minimum distance; Semiparametric efficiency; Shape invariant quantile IV Engel curves; Weighted bootstrap

Indexed keywords

CONFIDENCE REGION; NONLINEAR NONPARAMETRIC ENDOGENEITY; NONSMOOTH GENERALIZED RESIDUALS; PARTIALLY LINEAR QUANTILE IV REGRESSION; PENALIZED SIEVE MINIMUM DISTANCE; SEMIPARAMETRIC EFFICIENCY; SHAPE-INVARIANT QUANTILE IV ENGEL CURVES; WEIGHTED BOOTSTRAP;

ASYMPTOTIC ANALYSIS; PHOTOMASKS; REGRESSION ANALYSIS; SIEVES;

ESTIMATION;

EID: 63149177630     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.02.002     Document Type: Article

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