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Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

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Cited by:

  1. Dong, Chaohua & Linton, Oliver, 2018. "Additive nonparametric models with time variable and both stationary and nonstationary regressors," Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
  2. Zhexiao Lin & Peng Ding & Fang Han, 2023. "Estimation Based on Nearest Neighbor Matching: From Density Ratio to Average Treatment Effect," Econometrica, Econometric Society, vol. 91(6), pages 2187-2217, November.
  3. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Linton, Oliver & Seo, Myung Hwan & Whang, Yoon-Jae, 2023. "Testing stochastic dominance with many conditioning variables," Journal of Econometrics, Elsevier, vol. 235(2), pages 507-527.
  5. Li, Shaoran & Linton, Oliver, 2021. "When will the Covid-19 pandemic peak?," Journal of Econometrics, Elsevier, vol. 220(1), pages 130-157.
  6. Hong, Seok Young & Linton, Oliver, 2020. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
  7. Hoshino, Tadao & Yanagi, Takahide, 2023. "Treatment effect models with strategic interaction in treatment decisions," Journal of Econometrics, Elsevier, vol. 236(2).
  8. Hoshino Tadao & Yanagi Takahide, 2022. "Estimating marginal treatment effects under unobserved group heterogeneity," Journal of Causal Inference, De Gruyter, vol. 10(1), pages 197-216, January.
  9. Thorsten Drautzburg & Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," PIER Working Paper Archive 24-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  10. Bravo, Francesco & Li, Degui & Tjøstheim, Dag, 2021. "Robust nonlinear regression estimation in null recurrent time series," Journal of Econometrics, Elsevier, vol. 224(2), pages 416-438.
  11. Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
  12. Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
  13. Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers 59/17, Institute for Fiscal Studies.
  14. Christoph Breunig & Stefan Hoderlein, 2018. "Specification testing in random coefficient models," Quantitative Economics, Econometric Society, vol. 9(3), pages 1371-1417, November.
  15. Ballarin, Giovanni & Dellaportas, Petros & Grigoryeva, Lyudmila & Hirt, Marcel & van Huellen, Sophie & Ortega, Juan-Pablo, 2024. "Reservoir computing for macroeconomic forecasting with mixed-frequency data," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1206-1237.
  16. Abhimanyu Gupta & Myung Hwan Seo, 2023. "Robust Inference on Infinite and Growing Dimensional Time‐Series Regression," Econometrica, Econometric Society, vol. 91(4), pages 1333-1361, July.
  17. Shi, Chengchun & Luo, Shikai & Le, Yuan & Zhu, Hongtu & Song, Rui, 2022. "Statistically efficient advantage learning for offline reinforcement learning in infinite horizons," LSE Research Online Documents on Economics 115598, London School of Economics and Political Science, LSE Library.
  18. Li, Jia & Liao, Zhipeng, 2020. "Uniform nonparametric inference for time series," Journal of Econometrics, Elsevier, vol. 219(1), pages 38-51.
  19. Timothy Christensen, 2014. "Nonparametric Stochastic Discount Factor Decomposition," Papers 1412.4428, arXiv.org, revised May 2017.
  20. Yan Liu, 2022. "Policy Learning under Endogeneity Using Instrumental Variables," Papers 2206.09883, arXiv.org, revised Mar 2024.
  21. Xiaohong Chen & Timothy M. Christensen, 2015. "Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation," CeMMAP working papers 32/15, Institute for Fiscal Studies.
  22. Holland, Ashley D., 2017. "Penalized spline estimation in the partially linear model," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 211-235.
  23. Breunig, Christoph & Mammen, Enno & Simoni, Anna, 2018. "Nonparametric estimation in case of endogenous selection," Journal of Econometrics, Elsevier, vol. 202(2), pages 268-285.
  24. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
  25. Chaohua Dong & Jiti Gao & Bin Peng, 2018. "Series estimation for single-index models under constraints," Monash Econometrics and Business Statistics Working Papers 5/18, Monash University, Department of Econometrics and Business Statistics.
  26. Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023. "High dimensional semiparametric moment restriction models," Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
  27. Lee, Jungyoon & Robinson, Peter M., 2016. "Series estimation under cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 190(1), pages 1-17.
  28. Jiti Gao & Fei Liu & Bin peng, 2020. "Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 44/20, Monash University, Department of Econometrics and Business Statistics.
  29. Breunig, Christoph & Haan, Peter, 2021. "Nonparametric regression with selectively missing covariates," Journal of Econometrics, Elsevier, vol. 223(1), pages 28-52.
  30. Shi, Chengchun & Luo, Shikai & Zhu, Hongtu & Song, Rui, 2021. "An online sequential test for qualitative treatment effects," LSE Research Online Documents on Economics 112521, London School of Economics and Political Science, LSE Library.
  31. Xiaohong Chen & Timothy M. Christensen, 2017. "Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression," CeMMAP working papers 09/17, Institute for Fiscal Studies.
  32. Christoph Breunig, 2019. "Specification Testing in Nonparametric Instrumental Quantile Regression," Papers 1909.10129, arXiv.org.
  33. Jungyoon Lee & Peter Robinson, 2016. "Series estimation under cross-sectional dependence," LSE Research Online Documents on Economics 63380, London School of Economics and Political Science, LSE Library.
  34. Shi, Chengchun & Zhang, Shengxing & Lu, Wenbin & Song, Rui, 2022. "Statistical inference of the value function for reinforcement learning in infinite-horizon settings," LSE Research Online Documents on Economics 110882, London School of Economics and Political Science, LSE Library.
  35. Matias D. Cattaneo & Yingjie Feng & Boris Shigida, 2024. "Uniform Estimation and Inference for Nonparametric Partitioning-Based M-Estimators," Papers 2409.05715, arXiv.org.
  36. Zhou, Weilun & Gao, Jiti & Harris, David & Kew, Hsein, 2024. "Semi-parametric single-index predictive regression models with cointegrated regressors," Journal of Econometrics, Elsevier, vol. 238(1).
  37. Farrell, Max H., 2015. "Robust inference on average treatment effects with possibly more covariates than observations," Journal of Econometrics, Elsevier, vol. 189(1), pages 1-23.
  38. Breunig, Christoph, 2017. "Testing missing at random using instrumental variables," SFB 649 Discussion Papers 2017-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  39. Breunig, Christoph, 2021. "Varying random coefficient models," Journal of Econometrics, Elsevier, vol. 221(2), pages 381-408.
  40. Shujie Ma & Oliver Linton & Jiti Gao, 2018. "Estimation in semiparametric quantile factor models," CeMMAP working papers CWP07/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  41. Xiaohong Chen & Timothy Christensen, 2013. "Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation," Cowles Foundation Discussion Papers 1923R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2015.
  42. Fabian Dunker, 2015. "Adaptive estimation for some nonparametric instrumental variable models," Papers 1511.03977, arXiv.org, revised Aug 2021.
  43. Yang Ning & Sida Peng & Jing Tao, 2020. "Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data," Papers 2009.03151, arXiv.org.
  44. Xiaohong Chen & Timothy M. Christensen, 2018. "Optimal sup‐norm rates and uniform inference on nonlinear functionals of nonparametric IV regression," Quantitative Economics, Econometric Society, vol. 9(1), pages 39-84, March.
  45. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order," CeMMAP working papers 53/16, Institute for Fiscal Studies.
  46. Zhexiao Lin & Fang Han, 2022. "On regression-adjusted imputation estimators of the average treatment effect," Papers 2212.05424, arXiv.org, revised Jan 2023.
  47. Li, Ting & Shi, Chengchun & Wen, Qianglin & Sui, Yang & Qin, Yongli & Lai, Chunbo & Zhu, Hongtu, 2024. "Combining experimental and historical data for policy evaluation," LSE Research Online Documents on Economics 125588, London School of Economics and Political Science, LSE Library.
  48. Hoshino, Tadao, 2022. "Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect," Journal of Econometrics, Elsevier, vol. 229(2), pages 263-275.
  49. Komarova, Tatiana & Hidalgo, Javier, 2023. "Testing nonparametric shape restrictions," LSE Research Online Documents on Economics 121410, London School of Economics and Political Science, LSE Library.
  50. Chaohua Dong & Jiti Gao & Bin Peng, 2016. "Another Look at Single-Index Models Based on Series Estimation," Monash Econometrics and Business Statistics Working Papers 19/16, Monash University, Department of Econometrics and Business Statistics.
  51. Tadao Hoshino, 2021. "Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach," Papers 2112.15114, arXiv.org, revised Jan 2023.
  52. Xiaohong Chen & Zhengling Qi, 2022. "On Well-posedness and Minimax Optimal Rates of Nonparametric Q-function Estimation in Off-policy Evaluation," Papers 2201.06169, arXiv.org, revised Jun 2022.
  53. Breunig, Christoph, 2017. "Testing Missing At Random Using Instrumental Variables," Rationality and Competition Discussion Paper Series 59, CRC TRR 190 Rationality and Competition.
  54. Weilun Zhou & Jiti Gao & David Harris & Hsein Kew, 2019. "Semiparametric Single-index Predictive Regression," Monash Econometrics and Business Statistics Working Papers 25/19, Monash University, Department of Econometrics and Business Statistics.
  55. Qiu, Chen & Otsu, Taisuke, 2022. "Information theoretic approach to high dimensional multiplicative models: stochastic discount factor and treatment effect," LSE Research Online Documents on Economics 110494, London School of Economics and Political Science, LSE Library.
  56. Chengchun Shi & Sheng Zhang & Wenbin Lu & Rui Song, 2022. "Statistical inference of the value function for reinforcement learning in infinite‐horizon settings," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 765-793, July.
  57. Samuele Centorrino & Aman Ullah & Jing Xue, 2019. "Semiparametric Estimation of Correlated Random Coefficient Models without Instrumental Variables," Papers 1911.06857, arXiv.org.
  58. Christoph Breunig & Stefan Hoderlein, 2016. "Nonparametric Specification Testing in Random Parameter Models," Boston College Working Papers in Economics 897, Boston College Department of Economics.
  59. Delaigle, Aurore & Meister, Alexander & Rombouts, Jeroen, 2016. "Root-T consistent density estimation in GARCH models," Journal of Econometrics, Elsevier, vol. 192(1), pages 55-63.
  60. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers 24/15, Institute for Fiscal Studies.
  61. Giuseppe Benedetti, 2017. "On The Calculation Of Risk Measures Using Least-Squares Monte Carlo," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-14, May.
  62. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers CWP24/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  63. Byunghoon Kang, 2019. "Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms," Papers 1909.12162, arXiv.org, revised Feb 2020.
  64. Yujing Shao & Lei Wang, 2022. "Generalized partial linear models with nonignorable dropouts," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(2), pages 223-252, February.
  65. Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021. "Estimation and inference in semiparametric quantile factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
  66. Wayne Yuan Gao & Sheng Xu & Kan Xu, 2020. "Two-Stage Maximum Score Estimator," Papers 2009.02854, arXiv.org, revised Sep 2022.
  67. Zheng Fang & Juwon Seo, 2019. "A Projection Framework for Testing Shape Restrictions That Form Convex Cones," Papers 1910.07689, arXiv.org, revised Sep 2021.
  68. Xiaohong Chen & Yuan Liao & Weichen Wang, 2022. "Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves," Papers 2301.00092, arXiv.org, revised Jan 2023.
  69. Abdul-Nasah Soale & Emmanuel Selorm Tsyawo, 2023. "Clustered Covariate Regression," Papers 2302.09255, arXiv.org, revised Jul 2023.
  70. Christoph Breunig & Peter Haan, 2018. "Nonparametric Regression with Selectively Missing Covariates," Papers 1810.00411, arXiv.org, revised Oct 2020.
  71. Cui, Wenhao & Hu, Jie & Wang, Jiandong, 2024. "Nonparametric estimation for high-frequency data incorporating trading information," Journal of Econometrics, Elsevier, vol. 240(1).
  72. Chen Qiu & Taisuke Otsu, 2022. "Information theoretic approach to high‐dimensional multiplicative models: Stochastic discount factor and treatment effect," Quantitative Economics, Econometric Society, vol. 13(1), pages 63-94, January.
  73. Peter Horvath & Jia Li & Zhipeng Liao & Andrew J. Patton, 2022. "A consistent specification test for dynamic quantile models," Quantitative Economics, Econometric Society, vol. 13(1), pages 125-151, January.
  74. Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao, 2019. "Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice," Journal of Econometrics, Elsevier, vol. 212(2), pages 607-622.
  75. Matias D. Cattaneo & Max H. Farrell & Yingjie Feng, 2018. "Large Sample Properties of Partitioning-Based Series Estimators," Papers 1804.04916, arXiv.org, revised Jun 2019.
  76. Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021. "A weighted sieve estimator for nonparametric time series models with nonstationary variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 909-932.
  77. Raffaello Seri & Samuele Centorrino & Michele Bernasconi, 2019. "Nonparametric Estimation and Inference in Economic and Psychological Experiments," Papers 1904.11156, arXiv.org, revised Dec 2019.
  78. repec:hum:wpaper:sfb649dp2017-007 is not listed on IDEAS
  79. repec:hum:wpaper:sfb649dp2015-053 is not listed on IDEAS
  80. Giovanni Ballarin, 2023. "Impulse Response Analysis of Structural Nonlinear Time Series Models," Papers 2305.19089, arXiv.org, revised Jun 2024.
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