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Semiparametric Modelling and Estimation: A Selective Overview

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Author Info
Dennis Kristensen () (Columbia University and CREATES)

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Abstract

Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they allow for added flexibility over fully parametric models, and at the same time estimators of parametric components can be developed that exhibit standard parametric convergence rates. These two features have made semiparametric models and estimators increasingly popular in applied economics. We give a partial overview over the literature on semiparametric modelling and estimation with particular emphasis on semiparametric regression models. The main focus is on developing two-step semiparametric estimators and deriving their asymptotic properties. We do however also briefly discuss sieve-based estimators and semiparametric efficiency.

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Publisher Info
Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-44.

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Length: 42
Date of creation: 01 Sep 2009
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Handle: RePEc:aah:create:2009-44

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Web page: http://www.econ.au.dk/afn/

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Related research
Keywords: efficiency; kernel estimation; regression; semiparametric; sieve; two-step estimation;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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  7. Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, School of Economics and Management, University of Aarhus. [Downloadable!]
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    Other versions:
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    Other versions:
  19. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2007. "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves," Econometrica, Econometric Society, vol. 75(6), pages 1613-1669, November. [Downloadable!] (restricted)
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    Other versions:
  22. Kristensen, Dennis, 2009. "Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1433-1445, October. [Downloadable!]
    Other versions:
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    Other versions:
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  28. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2008. "Small Bandwidth Asymptotics for Density-Weighted Average Derivatives," CREATES Research Papers 2008-24, School of Economics and Management, University of Aarhus. [Downloadable!]
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    Other versions:
  30. Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November. [Downloadable!] (restricted)
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