Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing

作者：Escanciano Juan Carlos; Jacho Chavez David T; Lewbel Arthur^*

来源：Journal of Econometrics, 2014, 178: 426-443.

DOI：10.1016/j.jeconom.2013.06.004

• Semiparametric regression
• Semiparametric residuals
• Nonparametric residuals
• Uniform-in-bandwidth
• Sample selection models
• Empirical process theory
• Limited dependent variables

A new uniform expansion is introduced for sums of weighted kernel-based regression residuals from nonparametric or semiparametric models. This expansion is useful for deriving asymptotic properties of semiparametric estimators and test statistics with data-dependent bandwidths, random trimming, and estimated efficiency weights. Provided examples include a new estimator for a binary choice model with selection and an associated directional test for specification of this model%26apos;s average structural function. An appendix contains new results on uniform rates for kernel estimators and primitive sufficient conditions for high level assumptions commonly used in semiparametric estimation.

• 出版日期2014-1