Estimating Semiparametric Econometrics Models by Local Linear Method: With an Application to Cross-Country Growth
AbstractIt is well established that local linear method dominates the conventional local constant method in estimating nonparametric regression models by kernel method. In this paper we consider the problem of estimating semiparametric econometric models by local linear method. We provide a simple proof of establishing the joint asymptotic normality of the local linear estimator. We then show that our results can be used to easily derive the asymptotic distributions of local linear estimators for several semiparametric econometric models. An empirical application of using a semiparametric local linear estimator to cross country growth data is examined.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 1 (2000)
Issue (Month): 2 (November)
Local linear estimator; Asymptotic normality; Partially linear model; Smoothing coefficient model;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
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- Henderson, Daniel J. & Ullah, Aman, 2005. "A nonparametric random effects estimator," Economics Letters, Elsevier, vol. 88(3), pages 403-407, September.
- Tran, Kien C. & Tsionas, Efthymios G., 2009. "Estimation of nonparametric inefficiency effects stochastic frontier models with an application to British manufacturing," Economic Modelling, Elsevier, vol. 26(5), pages 904-909, September.
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