Estimation of nonparametric conditional moment models with possibly nonsmooth moments

By Xiaohong Chen, Demian Pouzo. 2008

56 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/4ce0985d6408ff427ed63bc87b1b030827b97741

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

In Statistics and Probability

Citations in the corpus

Quantile Selection Models with an Application to Understanding Changes in Wage Inequality (2017, unknown): “[19] Chen, X.”
On the Testability of Identification in Some Nonparametric Models With Endogeneity (2012, methodology): “The first such model follows the specification in (1) with a prespecified conditional quantile of ε assumed independent of Z—see Chernozhukov and Hansen (2005), Horowitz and Lee (2007), Gagliardini and Scaillet (2012), and Chen and Pouzo (2012).”
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals (2009, methodology): “The following lemma is a minor modification of Lemma B.1 and Remark B.1 in Chen and Pouzo (2007) hence we omit its proof.”
Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals (2011, methodology): “All combinations yielded very similar results; hence we only present figures for one “sieve dominating case”, using P-Spline(2,5) as Hn and P-Spline(5,10) for m̂ (hence k(n) = 8, Jn = 16).”
Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions (2009, unknown): “To compute the e¢ cient estimator ee n given in (19) we used the SMD estimator eh given in (17), where b o2(Xi) is a Gaussian kernel (with bandwidth n ) estimator of o2(X), with bh as the initial consistent estimator of ho.”
High-Dimensional Methods and Inference on Structural and Treatment Effects (2013, methodology): “8 See also Donohue and Levitt’s (2008) response to Foote and Goetz (2008), which considers the same problem using a longer panel and fi nds similar results to Donohue and Levitt (2001) including state-specifi c linear time trends.”
Uniform confidence bands for functions estimated nonparametrically with instrumental variables (2009, methodology): “(1.2) Chen and Pouzo (2008, 2009) developed a method for estimating a large class of nonparametric and semiparametric conditional moment models with possibly non-smooth moments.”
Instrumental variable methods for recovering continuous linear functionals (2011, background): “restriction is a special case of Chen and Pouzo (2008) with a possibly suboptimal choice of lagrange multiplier.”
SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION (2016, methodology): “The present paper has focused on parametric and linear IV quantile regression; extensions to nonlinear IV quantile regression and nonparametric IV quantile regression along the lines of Chen and Pouzo (2009, 2012) are currently under development.”