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Semiparametric Models

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  • Horowitz, Joel L.

    ()
    (University of Iowa)

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    Abstract

    Much empirical research in the social sciences is concerned with estimating conditional mean functions. The most frequently used estimation methods assume that the conditional mean function is known up to a set of constant parameters that can be estimated from data. Such methods are called parametric. Their use greatly simplifies estimation and inference but is rarely justified by theoretical or other a priori considerations. Estimation and inference based on convenient but incorrect assumptions about the form of the conditional mean function can be highly misleading. Semiparametric methods reduce the strength of the assumptions required for estimation and inference, thereby reducing the opportunities for obtaining misleading results. In addition, semiparametric methods mitigate certain disadvantages of fully nonparametric methods that make no assumptions about the shape of the conditional mean function. This article describes three important semiparametric models for conditional mean functions. These are single index, partially additive, and additive models. These models are compared with parametric and fully nonparametric models. An example based on real data illustrates the pitfalls of parametric models and the advantages of semiparametric ones.

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    Bibliographic Info

    Paper provided by University of Iowa, Department of Economics in its series Working Papers with number 00-01.

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    Length: 18 pages
    Date of creation: Jan 2000
    Date of revision:
    Handle: RePEc:uia:iowaec:00-01

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    Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242
    Phone: (319) 335-0829
    Fax: (319) 335-1956
    Web page: http://tippie.uiowa.edu/economics/
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    Related research

    Keywords: Kernel estimator; single-index model; additive model; partially linear model;

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    Cited by:
    1. Casey Warman, 2007. "You Can Take it with You! The Returns to Foreign Human Capital of Male Temporary Foreign Workers," Working Papers 1125, Queen's University, Department of Economics.

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