SOME CONVERGENCE THEORY FOR ITERATIVE ESTIMATION PROCEDURES WITH AN APPLICATION TO SEMIPARAMETRIC ESTIMATION

B-Tier
Journal: Econometric Theory
Year: 2005
Volume: 21
Issue: 4
Pages: 838-863

Authors (2)

Dominitz, Jeff Sherman, Robert P. (not in RePEc)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

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

Abstract

We develop general conditions for rates of convergence and convergence in distribution of iterative procedures for estimating finite-dimensional parameters. An asymptotic contraction mapping condition is the centerpiece of the theory. We illustrate some of the results by deriving the limiting distribution of a two-stage iterative estimator of regression parameters in a semiparametric binary response model. Simulation results illustrating the computational benefits of the first-stage iterative estimator are also reported.We thank a co-editor and two referees for comments and criticisms that led to significant improvements in this paper. We also thank Roger Klein for providing us with Gauss code to compute his estimator.

Technical Details

RePEc Handle
repec:cup:etheor:v:21:y:2005:i:04:p:838-863_05
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25