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Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals

[PDF] from cemmap.ac.uk
Full text - MIT Libraries
X Chen… - Journal of Econometrics, 2009 - Elsevier
This paper considers semiparametric efficient estimation of conditional moment models with
possibly nonsmooth residuals in unknown parametric components (θ) and unknown
functions (h) of endogenous variables. We show that:(1) the penalized sieve minimum ...
Cited by 57 - Related articles - All 47 versions

Estimation of nonparametric conditional moment models with possibly nonsmooth generalized residuals

[PDF] from yale.edu
X Chen… - 2011 - papers.ssrn.com
Abstract: This paper studies nonparametric estimation of conditional moment restrictions in
which the generalized residual functions can be nonsmooth in the unknown functions of
endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) ...
Cited by 46 - Related articles - All 49 versions

[PDF] Optimal taxation with endogenous default under incomplete markets

[PDF] from berkeley.edu
D Pouzo - Manuscript, New York University, 2009 - econ.berkeley.edu
Abstract. In a dynamic economy, I characterize the fiscal policy of the government when it
levies distortionary taxes and issues defaultable bonds to finance its stochastic expenditure.
Households predict the possibility of default, generating endogenous debt limits that ...
Cited by 16 - Related articles - View as HTML - All 32 versions

On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing

Full text - MIT Libraries
XH Chen… - Science in China Series A: Mathematics, 2009 - Springer
Abstract This paper considers the estimation of an unknown function h that can be
characterized as a solution to a nonlinear operator equation mapping between two infinite
dimensional Hilbert spaces. The nonlinear operator is unknown but can be consistently ...
Cited by 6 - Related articles - All 5 versions

[PDF] Learning foundation for equilibrium in voting environments

[PDF] from berkeley.edu
I Esponda… - 2010 - econ.berkeley.edu
Abstract We study repeated elections where privately-informed voters learn to make
decisions based on previous experience. Learning takes place from a biased sample
because the consequences of unchosen past alternatives (ie, counterfactuals) are not ...
Cited by 4 - Related articles - View as HTML - Get it from MIT Libraries - All 2 versions

[PDF] Learning foundation for equilibrium in voting environments with private information

[PDF] from berkeley.edu
I Esponda… - 2011 - econ.berkeley.edu
Abstract We study repeated elections where privately-informed voters learn to make
decisions based on previous experience. Learning takes place from a biased sample
because the consequences of unchosen past alternatives (ie, counterfactuals) are not ...
Cited by 1 - Related articles - View as HTML - Get it from MIT Libraries - All 5 versions

Estimation and model selection of semiparametric multivariate survival functions under general censorship

[PDF] from yale.edu
Full text - MIT Libraries
X Chen, Y Fan, D Pouzo… - Journal of Econometrics, 2010 - Elsevier
We study estimation and model selection of semiparametric models of multivariate survival
functions for censored data, which are characterized by possibly misspecified parametric
copulas and nonparametric marginal survivals. We obtain the consistency and root-n ...
Cited by 1 - Related articles - All 20 versions

[PDF] Sovereign default risk and uncertainty premia

[PDF] from psu.edu
D Pouzo… - 2011 - Citeseer
Abstract This paper develops a general equilibrium model of sovereign debt with
endogenous default. Foreign lenders fear that the probability model which dictates the
evolution of the endowment of the borrower is misspecified. To compensate for the risk ...
Cited by 1 - Related articles - View as HTML - All 11 versions

[PDF] Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models

[PDF] from princeton.edu
X Chen… - princeton.edu
Abstract This paper considers inference on functionals of semi/nonparametric conditional
moment restrictions with possibly nonsmooth generalized residuals. These models belong
to the difficult (nonlinear) ill-posed inverse problems with unknown operators, and include ...
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[PDF] Conditional Retrospective Voting in Large Elections

[PDF] from berkeley.edu
I Esponda… - 2012 - econ.berkeley.edu
Abstract We propose a new model of elections where a continuum of voters have private
information about the uncertain performance of electoral alternatives. A (retrospective)
voting equilibrium formalizes the idea that a large number of voters choose between ...
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[PDF] SUPPLEMENT TO “ESTIMATION OF NONPARAMETRIC CONDITIONAL MOMENT MODELS WITH POSSIBLY NONSMOOTH GENERALIZED RESIDUALS” BY

[PDF] from econometricsociety.org
X CHEN… - econometricsociety.org
In this online supplemental document, we first provide a brief summary of commonly used
function spaces and sieve spaces. We then provide mathematical proofs of all the theorems,
corollaries, propositions and lemmas that appear in the main text and the appendix of “ ...
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[PDF] Learning foundation and equilibrium selection in voting environments with private information

[PDF] from berkeley.edu
I Esponda… - 2012 - elsa.berkeley.edu
Abstract We use a dynamic learning model to investigate different behavioral assumptions in
voting environments with private information. We show that a simple rule, where players
learn based on the outcomes of past elections in which they were pivotal but requires no ...
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Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals

[PDF] from yale.edu
Full text - MIT Libraries
X Chen… - Econometrica, 2012 - Wiley Online Library
This paper studies nonparametric estimation of conditional moment restrictions in which the
generalized residual functions can be nonsmooth in the unknown functions of endogenous
variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We ...
Related articles - All 6 versions

[PDF] Information Aggregation, Learning, and Non% Strategic Behavior in Voting Environments

[PDF] from nber.org
I Esponda… - 2009 - nber.org
Abstract A presumed benefit of group decision-making is to select the best alternative by
aggregating privately dispersed information. In reality, people often learn to make decisions
based on previous experience. When the consequences of unchosen past alternatives (ie, ...
Related articles - View as HTML - All 13 versions

[PDF] Ramsey Taxation with Endogenous Defaults under Incomplete Markets

[PDF] from webmeets.com
D Pouzo - 2008 - webmeets.com
Abstract I analyze the optimal taxation problem under incomplete markets allowing for partial
defaults on the government debt, and for secondary markets wherein households trade the
defaulted debt. Households predict this possibility of default generating endogenous debt ...
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[PDF] Information aggregation under non-strategic voting

[PDF] from berkeley.edu
I Esponda… - 2010 - businessinnovation.berkeley.edu
Abstract A presumed benefit of group decision-making is to select the best alternative by
aggregating privately dispersed information. In reality, people often learn to make decisions
based on previous experience. When the consequences of unchosen past alternatives (ie, ...
Related articles - View as HTML - All 5 versions

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