Two-Step Extremum Estimation with Estimated Single-Indices

Kyungchul Song ()
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Kyungchul Song: Department of Economics, University of Pennsylvania

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: This paper studies two-step extremum estimation that involves the first step estimation of nonparametric functions of single-indices. First, this paper finds that under certain regularity conditions for conditional measures, linear functionals of conditional expectations are insensitive to the first order perturbation of the parameters in the conditioning variable. Applying this result to symmetrized nearest neighborhood estimation of the nonparametric functions, this paper shows that the influence of the estimated single-indices on the estimator of main interest is asymptotically negligible even when the estimated single-indices follow cube root asymptotics. As a practical use of this finding, this paper proposes a bootstrap method for conditional moment restrictions that are asymptotically valid in the presence of cube root-converging single-index estimators. Some results from Monte Carlo simulations are presented and discussed.

Keywords: two-step extremum estimation; single-index restrictions; cube root asymptotics bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C14 C51 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2009-02-16
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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