Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals

By Xiaohong Chen, Demian Pouzo. 2009

176 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5dbf2ed39c609c0b57dd1f2a31554fb8aea1b1ff

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Citations in the corpus

A SINGLE-INDEX QUANTILE REGRESSION MODEL AND ITS ESTIMATION (2012, background): “Ichimura and Lee (2006) and Chen and Pouzo (2009) both considered a two-step M-estimator for θ0, which minimizes n ∑ i=1 ρ(Yi −mn(Xi ,θ)), where mn(.,θ) is the estimated link function for any fixed θ , obtained through either approximating the link function with a tensor product sieve or smoothed…”
Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals (2011, methodology): “For example, if the PSMD estimator ĥn is computed using the series LS estimator m̂(X,h) defined in (11), one can let δ2 m,n = η0,n = max{Jn n , b(2)m,Jn} = Jn n = const.”
Quantile Selection Models with an Application to Understanding Changes in Wage Inequality (2017, unknown): “[18] Chen, X.”
SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION (2016, methodology): “In fact, the SEE approach has been used in Chen and Pouzo (2009, 2012) for computing their nonparametric sieve estimators in the presence of nonsmooth moments or generalized residuals. However, a rigorous investigation is currently lacking. Our paper can be regarded as a first step towards justifyin”
Efficient semiparametric estimation of multi-valued treatment effects under ignorability (2010, unknown): “In contrast, the recent results of Chen and Pouzo (2009) may be applied to this problem, leading to different (but asymptotically equivalent) estimators.”
Sensitivity to Missing Data Assumptions: Theory and an Evaluation of the U.S. Wage Structure (2010, methodology): “The bootstrap procedure is similar to the traditional nonparametric bootstrap with the important difference that the random weights on different observations are independent from each other – a property that simplifies the asymptotic analysis as noted in Ma and Kosorok (2005) and Chen and Pouzo (200”
Conditional quantile processes based on series or many regressors (2011, methodology): “Præstgaard and Wellner [72], Hahn [41], Chamberlain and Imbens [17], and Chen and Pouzo [23] previously used this method in the point-wise case, where the set U is a singleton.”
Sensitivity Analysis in Semiparametric Likelihood Models (2011, background): “Chen and Pouzo (2009) considered profiled sieve quasi likelihood ratio inference for point identified semi-nonparametric conditional moment models where the problems could be nonlinear and ill-posed.”
Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models (2014, unknown): “When specializing our general theory to inference on θ0 of the model (1.1), we not only recover the results of Ai and Chen (2003) and Chen and Pouzo (2009), but also provide local power properties of sieve Wald and SQLR as well as valid bootstrap (possibly non-optimally weighted) SQLR inference.”