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Supplements to "Directionally Differentiable Econometric Models"

Author

Listed:
  • JIN SEO CHO

    (Yonsei University)

  • HALBERT WHITE

    (University of California, San Diego)

Abstract

We illustrate analyzing directionally differentiable econometric models and provide technical details which are not included in Cho and White (2017).

Suggested Citation

  • Jin Seo Cho & Halbert White, 2017. "Supplements to "Directionally Differentiable Econometric Models"," Working papers 2017rwp-103a, Yonsei University, Yonsei Economics Research Institute.
    • Handle: RePEc:yon:wpaper:2017rwp-103a
    as

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    File URL: http://121.254.254.220/repec/yon/wpaper/2017rwp-103a.pdf
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Michel A. Habib & Alexander Ljungqvist, 2005. "Firm Value and Managerial Incentives: A Stochastic Frontier Approach," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2053-2094, November.
    3. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    4. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
    5. Jin Seo Cho & Isao Ishida & Halbert White, 2013. "Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Teras," Working papers 2013rwp-55, Yonsei University, Yonsei Economics Research Institute.
    6. Stevenson, Rodney E., 1980. "Likelihood functions for generalized stochastic frontier estimation," Journal of Econometrics, Elsevier, vol. 13(1), pages 57-66, May.
    7. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
    8. Shantanu Dutta & Om Narasimhan & Surendra Rajiv, 1999. "Success in High-Technology Markets: Is Marketing Capability Critical?," Marketing Science, INFORMS, vol. 18(4), pages 547-568.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Michael Jansson & Demian Pouzo, 2017. "Towards a General Large Sample Theory for Regularized Estimators," Papers 1712.07248, arXiv.org, revised Jul 2020.
    2. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.

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    More about this item

    Keywords

    directionally differentiable quasi-likelihood function; Gaussian stochastic process; quasilikelihood ratio test; Wald test; and Lagrange multiplier test statistics; stochastic frontier production function; GMM estimation; Box-Cox transform.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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