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.
Authors
Working Paper details
- DOI
- 10.1920/wp.cem.2002.0202
- Publisher
- IFS
Suggested citation
X, Chen and O, Linton and I, van Keilegom. (2002). Estimation of semiparametric models when the criterion function is not smooth. London: IFS. Available at: https://ifs.org.uk/publications/estimation-semiparametric-models-when-criterion-function-not-smooth (accessed: 26 April 2024).
Related documents
More from IFS
Understand this issue
Gender norms, violence and adolescent girls’ trajectories: Evidence from India
24 October 2022
Public investment: what you need to know
25 April 2024
The £600 billion problem awaiting the next government
25 April 2024
Policy analysis
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Compu- tation which build likelihoods based on limited information.
12 August 2014
Assessing the economic benefits of education: reconciling microeconomic and macroeconomic approaches
This CAYT report discusses the strengths and limitations of several approaches to assessing the effect of education on productivity.
14 March 2013
Misreported schooling, multiple measures and returns to educational qualifications
We provide a number of contributions of policy, practical and methodological interest to the study of the returns to educational qualifications in the presence of misreporting.
1 February 2012
Academic research
Understanding Society: minimising selection biases in data collection using mobile apps
2 February 2024
Robust analysis of short panels
8 January 2024
A coefficient of variation for ordered categorical data: Analyzing relative health inequality and ageing in the UK and relative human resource inequality and gender in Canada
21 December 2023