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Estimation of semiparametric models when the criterion function is not smooth

Authors: Xiaohong Chen , Oliver Linton and Ingred van Keilegom
Date: 07 November 2002
Type: cemmap Working Paper, CWP02/02
DOI: 10.1920/wp.cem.2002.0202

Abstract

We provide easy to verify suffcient conditions for the consistency and asymptotic normality of a class of semiparametric optimization estimators where the criterion function does not obey standard smoothness conditions and simultaneously depends on some preliminary nonparametric estimators. Our results extend existing theories like those of Pakes and Pollard (1989), Andrews (1994a), and Newey (1994). We apply our results to two examples: a 'hit rate' and a partially linear median regression with some endogenous regressors. Download full version
Now published:
Xiaohong Chen, Oliver Linton and Ingred van Keilegom September 2003, Estimation of semiparametric models when the criterion function is not smooth, Journal Article

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