Robinson's Squareroot-of-n-consistent Semiparametric Regression Estimator in Stata
AbstractThis paper describes Robinson's (1988) double residual semiparametric regression estimator and Hardle and Mammen's (1993) specification test implementation in Stata. Some simple simulations illustrate how this newly coded estimator outperforms the already available semiparametric plreg command.
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Bibliographic InfoPaper provided by University of Namur, Department of Economics in its series Working Papers with number 1110.
Length: 10 pages
Date of creation: Mar 2011
Date of revision:
Semipar; Semiparametric estimation;
Other versions of this item:
- Vincenzo Verardi & Nicolas Debarsy, 2012. "Robinson's square root of N consistent semiparametric regression estimator in Stata," Stata Journal, StataCorp LP, vol. 12(4), pages 726-735, December.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-25 (All new papers)
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