Uniform Convergence of Semi-Nonparametric Density Functions and Their Derivatives, with Application to the Semi-Nonparametric Fractional Index Regression Model
2018/03/13
研討會日期 : 2018-03-13
時間 : 14:30
主講人 : Professor Herman J. Bierens
主持人 : Professor Wen-Jen Tsay
地點 : Conference Room B110
演講者簡介 : Professor Bierens received his Ph.D. in Economics from University of Amsterdam in 1980. He is currently the Professor Emeritus of Economics at Pennsylvania State University. His research interest is Econometrics.
演講摘要 : In this paper I will set forth conditions under which semi-nonparametric (SNP) density functions and their derivatives are uniformly convergent, and derive their rates of uniform convergence. These results will be applied to sieve least squares estimation of the SNP fractional index regression model, with asymptotic normality results based on the approach in Bierens (2014): ”Consistency and Asymptotic Normality of Sieve ML Estimators Under Low-Level Conditions”, Econometric Theory 30, 1021-1076.
