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High Dimensional Semiparametric Moment Restriction Models
| Content Provider | Scilit |
|---|---|
| Author | Dong, Chaohua Gao, Jiti Linton, Oliver B. |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method dealing with the nonparametric parameter. The consistency and normality for the GMM estimators are established. Meanwhile, a new test statistic is proposed for over-identification issue. Numerical examples are used to verify the established theory. |
| Related Links | https://www.monash.edu/business/econometrics-and-business-statistics/research/publications/ebs/wp17-17.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3045063 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3045063 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-09-28 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Statistics and Probability High Dimensional Models Overidentification |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |