Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

@inproceedings{Chen2011EstimationON,
  title={Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals},
  author={Xiaohong Chen and Demian Pouzo},
  year={2011}
}
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 propose a class of penalized sieve minimum distance (PSMD) estimators, which are minimizers of a penalized empirical minimum distance criterion over a collection of sieve spaces that are dense in the infinite dimensional function… CONTINUE READING

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