This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Two-Step Extremum Estimation with Estimated Single-Indices

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Kyungchul Song () (Department of Economics, University of Pennsylvania)
Abstract

This paper studies two-step extremum estimation that involves the first step estimation of nonparametric functions of single-indices. First, this paper finds that under certain regularity conditions for conditional measures, linear functionals of conditional expectations are insensitive to the first order perturbation of the parameters in the conditioning variable. Applying this result to symmetrized nearest neighborhood estimation of the nonparametric functions, this paper shows that the influence of the estimated single-indices on the estimator of main interest is asymptotically negligible even when the estimated single-indices follow cube root asymptotics. As a practical use of this finding, this paper proposes a bootstrap method for conditional moment restrictions that are asymptotically valid in the presence of cube root-converging single-index estimators. Some results from Monte Carlo simulations are presented and discussed.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://economics.sas.upenn.edu/system/files/09-012.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 09-012.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 45 pages
Date of creation: 16 Feb 2009
Date of revision:
Handle: RePEc:pen:papers:09-012

Contact details of provider:
Postal: 3718 Locust Walk, Philadelphia, PA 19104
Phone: 215-898-9992
Fax: 215-573-2378
Email:
Web page: http://economics.sas.upenn.edu/pier
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Dolly Guarini).

Related research
Keywords: two-step extremum estimation; single-index restrictions; cube root asymptotics bootstrap;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Ahn, Hyungtaik & Manski, Charles F., 1993. "Distribution theory for the analysis of binary choice under uncertainty with nonparametric estimation of expectations," Journal of Econometrics, Elsevier, vol. 56(3), pages 291-321, April. [Downloadable!] (restricted)
  2. Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-81, November. [Downloadable!] (restricted)
  3. Song, Kyungchul, 2008. "Uniform Convergence Of Series Estimators Over Function Spaces," Econometric Theory, Cambridge University Press, vol. 24(06), pages 1463-1499, December. [Downloadable!]
  4. Heckman, James J, 1990. "Varieties of Selection Bias," American Economic Review, American Economic Association, vol. 80(2), pages 313-18, May.
  5. Chen, Songnian & Khan, Shakeeb, 2003. "Semiparametric Estimation Of A Heteroskedastic Sample Selection Model," Econometric Theory, Cambridge University Press, vol. 19(06), pages 1040-1064, December. [Downloadable!]
  6. Manuel A. Domínguez & Ignacio N. Lobato, 2004. "Consistent Estimation of Models Defined by Conditional Moment Restrictions," Econometrica, Econometric Society, vol. 72(5), pages 1601-1615, 09. [Downloadable!] (restricted)
  7. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November. [Downloadable!] (restricted)
  8. Mitali Das & Whitney K. Newey & Francis Vella, 2003. "Nonparametric Estimation of Sample Selection Models," Review of Economic Studies, Blackwell Publishing, vol. 70(1), pages 33-58, January.
  9. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, 07. [Downloadable!] (restricted)
    Other versions:
  10. Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March. [Downloadable!] (restricted)
  11. Heckman, James J & Ichimura, Hidehiko & Todd, Petra, 1998. "Matching as an Econometric Evaluation Estimator," Review of Economic Studies, Blackwell Publishing, vol. 65(2), pages 261-94, April. [Downloadable!] (restricted)
  12. repec:att:wimass:19901 is not listed on IDEAS
  13. Jason Abrevaya & Jian Huang, 2005. "On the Bootstrap of the Maximum Score Estimator," Econometrica, Econometric Society, vol. 73(4), pages 1175-1204, 07. [Downloadable!] (restricted)
  14. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July. [Downloadable!] (restricted)
  15. Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 3-29, July. [Downloadable!] (restricted)
  16. Newey, Whitney K & Powell, James L & Walker, James R, 1990. "Semiparametric Estimation of Selection Models: Some Empirical Results," American Economic Review, American Economic Association, vol. 80(2), pages 324-28, May. [Downloadable!] (restricted)
  17. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
Full references

Statistics
Access and download statistics

Did you know? There is a FAQ (frequently asked questions).

This page was last updated on 2009-11-9.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.