Abstract
This paper presents sieve inferences on possibly irregular (i.e., slower than root-n estimable) functionals of semi-nonparametric models with i.i.d. data. We provide a simple consistent variance estimator of the plug-in sieve M estimator of a possibly irregular functional, and the asymptotic standard normality of the sieve t statistic. We show that, for hypothesis testing of irregular functionals, the sieve likelihood ratio statistic is asymptotically Chi-square distributed. These results are useful in inference on structural parameters that may have singular semiparametric efficiency bounds. A simulation study and an empirical application of Heckman and Singer (1984) duration model are presented.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
