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

Escanciano, Juan Carlos; Lewbel, Arthur; Jacho-Chavez, David

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

Author(s): Escanciano, Juan Carlos; Lewbel, Arthur; Jacho-Chavez, David

Publisher: Elsevier

Issued date: 2014-01-01

Citation: Escanciano, J. C., Jacho-Chávez, D. T., & Lewbel, A. (2014). Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing. Journal of Econometrics, 178, pp. 426-443.

ISSN: 0304-4076

DOI: https://doi.org/10.1016/j.jeconom.2013.06.004

xmlui.dri2xhtml.METS-1.0.item-contributor-funder: Ministerio de Asuntos Económicos y Transformación Digital (España)

Sponsor: First author’s research was funded by the Spanish Plan Nacional de I+D+I, reference number ECO2012-33053.

Project: Gobierno de España. ECO2012-33053

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

JEL Classification: C13 , C14 , C21 , D24

URI: http://hdl.handle.net/10016/35114

Rights: © 2013 Elsevier B.V. All rights reserved
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Abstract:

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-d [+]

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