Sieve Inference on Semi-Nonparametric Time Series Models

@inproceedings{Chen2012SieveIO,
  title={Sieve Inference on Semi-Nonparametric Time Series Models},
  author={Xiaohong Chen and Zhipeng Liao and Yixiao Sun},
  year={2012}
}
The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we establish a surprising result that the asymptotic variances of plug-in sieve M estimators of irregular (i.e., slower than root-T estimable) functionals do not depend on temporal dependence. Nevertheless… CONTINUE READING

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