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A method of moments estimator for semiparametric index models

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  • Bas Donkers
  • Marcia M Schafgans

Abstract

We 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 Info

Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2005/493.

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Date of creation: Jul 2005
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Handle: RePEc:cep:stiecm:/2005/493

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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

Related research

Keywords: Semiparametric estimation; multiple index models; average derivative functionals; generalized methods of moments estimator; rank testing;

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References

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  10. Donkers, B. & Schafgans, M., 2003. "A derivative based estimator for semiparametric index models," Econometric Institute Research Papers EI 2003-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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  14. Serge Darolles & Christian Gourieroux & Joanna Jasiak, 2001. "Compound Autoregressive Models," Working Papers 2001-21, Centre de Recherche en Economie et Statistique.
  15. Lewbel, Arthur, 1997. "Semiparametric Estimation of Location and Other Discrete Choice Moments," Econometric Theory, Cambridge University Press, vol. 13(01), pages 32-51, February.
  16. Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, vol. 75(2), pages 291-316, December.
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Cited by:
  1. Victoria Zinde-Walsh & Marcia M.A. Schafgans, 2007. "Robust Average Derivative Estimation," Departmental Working Papers 2007-12, McGill University, Department of Economics.

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