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A Note On Generalized Empirical Likelihood Estimation Of Semiparametric Conditional Moment Restriction Models

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  • Sueishi, Naoya

Abstract

This paper proposes an empirical likelihood-based estimation method for semiparametric conditional moment restriction models, which contain finite dimensional unknown parameters and unknown functions. We extend the results of Donald, Imbens, and Newey (2003, Journal of Econometrics 117, 55–93) by allowing unknown functions to be included in the conditional moment restrictions. We approximate unknown functions by a sieve method and estimate the finite dimensional parameters and unknown functions jointly. We establish consistency and derive the convergence rate of the estimator. We also show that the estimator of the finite dimensional parameters is $\sqrt n$-consistent, asymptotically normally distributed, and asymptotically efficient.

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  • Sueishi, Naoya, 2017. "A Note On Generalized Empirical Likelihood Estimation Of Semiparametric Conditional Moment Restriction Models," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1242-1258, October.
    • Handle: RePEc:cup:etheor:v:33:y:2017:i:05:p:1242-1258_00
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    Cited by:

    1. Tao, Jing, 2020. "Trinity tests of functions for conditional moment models," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
    2. Chen, Xiaohong & Pouzo, Demian & Powell, James L., 2019. "Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions," Journal of Econometrics, Elsevier, vol. 213(1), pages 30-53.

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