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Robinson's Squareroot-of-n-consistent Semiparametric Regression Estimator in Stata

Author

Listed:
  • Vincenzo Verardi

    (Center for Research in the Economics of Development, University of Namur; European Center for Advanced Research in Economics and Statistics, Universite Libre de Bruxelles)

  • Nicolas Debarsy

    (Department of economics and CERPE, University of Namur)

Abstract

This 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.

Suggested Citation

  • Vincenzo Verardi & Nicolas Debarsy, 2011. "Robinson's Squareroot-of-n-consistent Semiparametric Regression Estimator in Stata," Working Papers 1110, University of Namur, Department of Economics.
    • Handle: RePEc:nam:wpaper:1110
    as

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    References listed on IDEAS

    as
    1. Michael Lokshin, 2006. "Difference-based semiparametric estimation of partial linear regression models," Stata Journal, StataCorp LP, vol. 6(3), pages 377-383, September.
    2. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
    3. Adonis Yatchew, 1998. "Nonparametric Regression Techniques in Economics," Journal of Economic Literature, American Economic Association, vol. 36(2), pages 669-721, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Semipar; Semiparametric estimation;

    JEL classification:

    • 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

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