Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals By

1 This paper studies nonparametric estimation of conditional moment restrictions in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized sieve minimum distance (PSMD) estima-tors, which are minimizers of a penalized empirical minimum dista...

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

This paper studies nonparametric estimation of conditional moment models in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized sieve minimum distance (PSMD) estimators which are minimizers of a penalized empirical minimum distance criter...

Supplemental Material to ESTIMATION OF NONPARAMETRIC CONDITIONAL MOMENT MODELS WITH POSSIBLY NONSMOOTH GENERALIZED RESIDUALS BY

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments

This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear ill-posed inverse problem with an unknown operator. We first propose a penalized sieve minimum distan...

Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals

For semi/nonparametric conditional moment models containing unknown parametric components (θ) and unknown functions of endogenous variables (h), Newey and Powell (2003) and Ai and Chen (2003) propose sieve minimum distance (SMD) estimation of (θ, h) and derive the large sample properties. This paper greatly extends their results by establishing the followings: (1) The penalized SMD (PSMD) estim...