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Essays on Econometrics.

Tao, Jing.

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Essays on Econometrics.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on Econometrics./
Author:	Tao, Jing.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2015,
Description:	305 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.
Contained By:	Dissertation Abstracts International77-01A(E).
Subject:	Economics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3722247
ISBN:	9781339042343

Essays on Econometrics.
Tao, Jing.

Essays on Econometrics. - Ann Arbor : ProQuest Dissertations & Theses, 2015 - 305 p.

Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.

Thesis (Ph.D.)--The University of Wisconsin - Madison, 2015.

This dissertation consists of three chapters on semiparametric/nonparametric econometric models with endogeneity.

ISBN: 9781339042343Subjects--Topical Terms:

517137
Economics.

Essays on Econometrics.
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100 1 $a Tao, Jing. $3 1938490
245 1 0 $a Essays on Econometrics.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2015
300 $a 305 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.
500 $a Adviser: Jack Porter.
502 $a Thesis (Ph.D.)--The University of Wisconsin - Madison, 2015.
520 $a This dissertation consists of three chapters on semiparametric/nonparametric econometric models with endogeneity.
520 $a The first chapter considers conditional moment models where the parameters of interest include both finite-dimensional parameters and unknown functions. First, we provide new methods of pointwise and uniform inference for the estimates of both finite- and infinite-dimensional components of the parameters and functionals of the parameters. Second, under partial identification, we show how to construct pointwise confidence regions by inverting a quasi-likelihood ratio (QLR) statistic. We provide a consistent bootstrap procedure for obtaining critical values corresponding to the QLR. Furthermore, we generalize the uniform confidence bands from point identified case to uniform confidence sets over the domain of the unknown functions by inverting a sup-QLR statistic. The new methods are applied to construct pointwise confidence intervals and uniform confidence bands for shape-invariant Engel curves.
520 $a The second chapter considers the problem of choosing the regularization parameter and the smoothing parameter in nonparametric instrumental variables estimation. We propose a Mallows' Cp-type criterion to select these two parameters simultaneously. We show that the proposed selection criterion is optimal in the sense that the selected estimate asymptotically achieves the lowest possible mean squared error among all candidates. To account for model uncertainty, we introduce a new model averaging estimator for nonparametric instrumental variables regressions. We propose a Mallows criterion for the weight selection and demonstrate its asymptotic optimality.
520 $a The third chapter develops empirical likelihood ratio tests for conditional moment models in which the unknown parameter can contain infinite-dimensional components. We obtain (1) the limiting distribution of the sieve conditional empirical likelihood ratio (SCELR) test statistic for functionals of parameters under the null hypothesis and local alternatives, and (2) the limiting distribution of the SCELR test statistics for conditional moment restrictions (a consistent specification test) under null hypothesis and local alternatives.
590 $a School code: 0262.
650 4 $a Economics. $3 517137
690 $a 0501
710 2 $a The University of Wisconsin - Madison. $b Economics. $3 2094978
773 0 $t Dissertation Abstracts International $g 77-01A(E).
790 $a 0262
791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3722247