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cemmap Working Papers
November 2002 CWP02/02
Article
Estimation of semiparametric models when the criterion function is not smooth
Type: cemmap Working Papers
Authors: Xiaohong Chen, Oliver Linton and Ingred Van Keilegom
ISSN: 1753-9196
Volume, issue, pages: 28 pp.
Now published in: Econometrica [Details]

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.

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