Existence and Uniqueness of Semiparametric Projections

Komunjer, Ivana and Ragusa, Giuseppe (2009) Existence and Uniqueness of Semiparametric Projections. [Working Paper]. p. 31. University of California at San Diego, Economics Working Paper Series (No. 706471). (Submitted)

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In this paper we propose primitive conditions under which a projection of a conditional density onto a set defined by conditional moment restrictions exists and is unique. Moreover, we provide an analytic expression of the obtained projection. Our first result is to show the existence when the moment function is bounded. The result is as we would expect from the analogous results obtained in the unconditional case. Our second result relaxes the boundedness assumption and replaces it with a correct specification condition. Showing that the correct specification of the moment function is sufficient for the projection to exist is entirely new and not yet seen in the literature.

Item Type:Report / Paper (Working Paper)
Research documents and activity classification:Working Papers > Non-Refereed Working Papers / of national relevance only
Divisions:Department of Business and Management
Uncontrolled Keywords:Semiparametric methods; least favorable submodels.
MIUR Scientific Area:Area 13 - Economics and Statistics > SECS-P/05 Econometrics
Deposited By:Maria Teresa Nistico
Deposited On:16 Dec 2010 19:35
Last Modified:16 Dec 2010 19:35

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