Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables

By Chunrong Ai, Xiaohong Chen. 2007

135 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1b661ef36ca0ec42073bb29db4d0ce0312a4fbfa

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Citations in the corpus

Policy Learning With Observational Data (2017, methodology): “(2016), which in turn is closely related to an approach proposed by Ai and Chen (2007).”
Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models (2014, unknown): “…∑∞ j=1 µ −2 j b 2 j ∞) for the model (6.1), Condition (6.7) is satisfied provided that n× ∑∞ j=k(n)+1 µ −2 j b 2 j× δ2n = o(1), which is the condition imposed in Ai and Chen (2007) for their root-n estimation of an average derivative of NPIV example, and is shown to allow for severely…”
Locally Robust Semiparametric Estimation (2016, methodology): “We consider debiased GMM where ( ) = argmin ∈Γ [ (()|B)2] (5.2) This ( ) is the plim of the nonparametric 2SLS estimator of Newey and Powell (2003), Newey (1991), and Ai and Chen (2007).”
A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators (2012, methodology): “12 This problem does not fit into the framework of Ai and Chen (2007).”
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals (2009, methodology): “See Newey (1997), Huang (1998) and Chen (2007) for more details about tensor-product B-splines and other linear sieves.”
Advances in Consumption-Based Asset Pricing: Empirical Tests (2011, unknown): “For semiparametric models it is given in Ai and Chen (2007). This method of model comparison could be used in place of or in addition to hypothesis tests of whether a single model is specified without error.”
Estimation of nonparametric conditional moment models with possibly nonsmooth moments (2008, methodology): “Previously, Ai and Chen (2007) establish root-n asymptotic normality of the plug-in SMD estimator of a weighted average derivative of h0 for the NPIV model (1.2): E[Y1 − h0(Y2))”
Inference for Iterated GMM Under Misspecification (2021, methodology): “To see this, combine equation (4) with Theorem 3.”
Instrumental variable methods for recovering continuous linear functionals (2011, background): “Ai and Chen (2003, 2007) and Darolles et al. (2003) derive asymptotically normal estimators for 〈ν,m0〉 that assume m0 is identified.”
Difference-in-Differences with a Continuous Treatment (2021, unknown): “Under some regularity conditions, one can show that ACRT glob is √ n D> 0 consistent and asymptotically normal; see, e.g., Section 4.1 of Ai and Chen (2007).”
The influence function of semiparametric estimators (2015, methodology): “In the notation here, the Ai and Chen (2007) formula is φ(W , γ0, α0 ) =E [ v∗(Z )”
R&D and Productivity: Estimating Endogenous Productivity (2013, methodology): “This strategy is widely employed in the literature, e.g. in Wooldridge’s (2009) GMM version of the two-stage procedures of OP, LP, and ACF and in the sieve estimation procedure of Ai and Chen (2003, 2007); see also the discussion on p. 862 of Berry et al. (1995).”
Efficient Policy Learning (2017, methodology): “Although closely related to existing proposals, including one by Ai and Chen (2007), the resulting doubly robust estimator was first derived via the general approach of Chernozhukov et al.”
Identification Properties of Recent Production Function Estimators (2015, background): “© 2015 The Econometric Society DOI: 10.3982/ECTA13408 (2002), Criscuolo and Martin (2009), Fernandes (2007), Blalock and Gertler (2004), Alvarez and Lopez (2005), Sivadasan (2009), Ozler and Yilmaz (2009), Topalova and Khandewal (2011), Kasahara and Rodrique (2008), Dollar, Hallward-Dreimeier, and…”