Estimation of semiparametric models when the criterion function is not smooth

Chen, Xiaohong;Linton, Olivier;Van Keilegom, Ingrid
(2002) , 31 pages

Files

ISBADP0204.pdf
  • Open Access
  • Adobe PDF
  • 278.49 KB
Download

Details

Authors
  • Chen, XiaohongLondon School of Economics
    Author
  • Linton, OlivierLondon School of Economics
    Author
  • Van Keilegom, IngridUCLouvain
    Author
Abstract
We provide easy to verify sufficient conditions for the consistency and asymptotic normality of a class of semiparametric optimization estimators where the criterion function does not obey standard smoothness conditions and simultaneously depends on some preliminary nonparametric estimators. Our results extend existing theories like those of Pakes and Pollard (1989), Andrews (1994a), and Newey (1994). We apply our results to an example.
Affiliations

Citations

  • APA
  • Chicago
  • FWB

Chen, X., Linton, O., & Van Keilegom, I. (2002). Estimation of semiparametric models when the criterion function is not smooth (STAT Discussion Papers 0204). https://hdl.handle.net/2078.5/75009