A method of moments estimator for semiparametric index models
AbstractWe propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators. The functionals used provide moment conditions for the parameters of interest, which are used in the second step within a method-of-moments framework to estimate the parameters of interest. The estimator is shown to be root N consistent and asymptotically normal. We extend the procedure to multiple equation models. Our identification conditions and estimation framework provide natural tests for the number of indices in the model. In addition we discuss tests of separability, additivity, and linearity of the influence of the indices.
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Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2005/493.
Date of creation: Jul 2005
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Semiparametric estimation; multiple index models; average derivative functionals; generalized methods of moments estimator; rank testing;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- 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.
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Cahiers de recherche
12-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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