Sieve M inference on irregular parameters

A-Tier
Journal: Journal of Econometrics
Year: 2014
Volume: 182
Issue: 1
Pages: 70-86

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper presents sieve inferences on possibly irregular (i.e., slower than root-n estimable) functionals of semi-nonparametric models with i.i.d. data. We provide a simple consistent variance estimator of the plug-in sieve M estimator of a possibly irregular functional, and the asymptotic standard normality of the sieve t  statistic. We show that, for hypothesis testing of irregular functionals, the sieve likelihood ratio statistic is asymptotically Chi-square distributed. These results are useful in inference on structural parameters that may have singular semiparametric efficiency bounds. A simulation study and an empirical application of Heckman and Singer (1984) duration model are presented.

Technical Details

RePEc Handle
repec:eee:econom:v:182:y:2014:i:1:p:70-86
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25