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Nonparametric Estimation of Models with Generated Regressors

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  • Rilstone, Paul
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    Abstract

    This paper considers nonparametric kernel estimation of models with generated regressors and derives the asymptotic distribution of the resulting estimators. It is also shown how generated regressors may be used to reduce the dimensionality of certain nonparametric models. A labor supply equation is estimated to illustrate the technique. Copyright 1996 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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    Bibliographic Info

    Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

    Volume (Year): 37 (1996)
    Issue (Month): 2 (May)
    Pages: 299-313

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    Handle: RePEc:ier:iecrev:v:37:y:1996:i:2:p:299-313

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    Cited by:
    1. Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2014. "Are University Admissions Academically Fair?," CREATES Research Papers 2014-06, School of Economics and Management, University of Aarhus.
    2. Charles Grant & Mario Padula, 2012. "Using Bounds to Investigate Household Debt Repayment Behaviour," CEDI Discussion Paper Series 12-06, Centre for Economic Development and Institutions(CEDI), Brunel University.
    3. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
    4. Joris Pinkse, 2000. "Feasible Multivariate Nonparametric Estimation Using Weak Separability," Econometric Society World Congress 2000 Contributed Papers 1241, Econometric Society.
    5. Song, Kyungchul, 2014. "Semiparametric models with single-index nuisance parameters," Journal of Econometrics, Elsevier, vol. 178(P3), pages 471-483.

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