Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 22, 2018 erstellt
Beschreibung:
Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method dealing with the nonparametric parameter. The consistency and normality for the GMM estimators are established. Meanwhile, a new test statistic is proposed for over-identification issue.Numerical examples are used to verify the established theory