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Identification and Nonparametric Estimation of a Transformed Additively Separable Model

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Author Info
David Jacho-Chavez (Indiana University)
Arthur Lewbel () (Boston College)
Oliver Linton (London School of Economics)

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Abstract

Let r(x,z) be a function that, along with its derivatives, can be consistently estimated nonparametrically. This paper discusses identification and consistent estimation of the unknown functions H, M, G and F, where r(x, z) = H[M (x, z)] and M(x,z) = G(x) + F(z). An estimation algorithm is proposed for each of the model's unknown components when r(x, z) represents a conditional mean function. The resulting estimators use marginal integration, and are shown to have a limiting Normal distribution with a faster rate of convergence than unrestricted nonparametric alternatives. Their small sample performance is studied in a Monte Carlo experiment. We empirically apply our results to nonparametrically estimate and test generalized homothetic production functions in four industries within the Chinese economy.

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File URL: http://fmwww.bc.edu/EC-P/WP652.pdf
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Publisher Info
Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 652.

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Length: 72 pages
Date of creation: 04 Sep 2006
Date of revision:
Handle: RePEc:boc:bocoec:652

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Related research
Keywords: Partly separable models Nonparametric regression Dimension reduction Generalized homothetic function Production function.

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
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
D24 - Microeconomics - - Production and Organizations - - - Production; Capital and Total Factor Productivity; Capacity

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