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Lavergne, Pascal
and Patilea, Valentin
(2013)
Smooth Minimum Distance Estimation and Testing with Conditional Estimating Equations: Uniform in Bandwidth Theory.
TSE Working Paper, n. 13-404, Toulouse
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Abstract
We study the influence of a bandwidth parameter in inference with conditional estimating equations. In that aim, we propose a new class of smooth minimum distance
estimators and we develop a theory that focuses on uniformity in bandwidth. We establish a vn-asymptotic representation of our estimator as a process indexed by a
bandwidth that can vary within a wide range including bandwidths independent of the sample size. We develop an efficient version of our estimator. We also study its behavior in misspecified models. We develop a procedure based on a distance metric statistic for testing restrictions on parameters as well as a bootstrap technique to account for the bandwidth’s influence. Our new methods are simple to implement, apply to non-smooth problems, and perform well in our simulations.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | March 2013 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | Semiparametric Estimation, Conditional Estimating Equations, Smoothing Methods, Asymptotic Efficiency, Hypothesis Testing, Bootstrap |
| JEL Classification: | C12 - Hypothesis Testing C14 - Semiparametric and Nonparametric Methods |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 09 Jul 2014 17:36 |
| Last Modified: | 02 Apr 2021 15:48 |
| OAI Identifier: | oai:tse-fr.eu:27219 |
| URI: | https://publications.ut-capitole.fr/id/eprint/15629 |
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