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Semiparametric quasi maximum likelihood estimation of the fractional response model

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  • Montoya-Blandón, Santiago
  • Jacho-Chávez, David T.

Abstract

This paper proposes a new semiparametric estimator of models where the response random variable is a fraction. The estimator is constructed by optimizing a semiparametric quasi-maximum likelihood that utilizes kernel smoothing. Under suitable conditions, the consistency and asymptotic normality of the proposed estimator is established allowing for data-driven bandwidth choices as well as random trimming, and its flexibility and robustness are showcased in a Monte Carlo experiment and an empirical application.

Suggested Citation

  • Montoya-Blandón, Santiago & Jacho-Chávez, David T., 2020. "Semiparametric quasi maximum likelihood estimation of the fractional response model," Economics Letters, Elsevier, vol. 186(C).
  • Handle: RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303866
    DOI: 10.1016/j.econlet.2019.108769
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    References listed on IDEAS

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    More about this item

    Keywords

    Fractional response; Semiparametric estimation; Quasi maximum likelihood; Misspecification;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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