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Nonparametric Estimation of Models with Generated Regressors

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  • Rilstone, Paul

Abstract

This paper considers nonparametric kernel estimation of models with generated regressors and derives the asymptotic distribution of the resulting estimators. It is also shown how generated regressors may be used to reduce the dimensionality of certain nonparametric models. A labor supply equation is estimated to illustrate the technique. Copyright 1996 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Suggested Citation

  • Rilstone, Paul, 1996. "Nonparametric Estimation of Models with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 299-313, May.
  • Handle: RePEc:ier:iecrev:v:37:y:1996:i:2:p:299-313
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    Cited by:

    1. Grant, Charles & Padula, Mario, 2013. "Using bounds to investigate household debt repayment behaviour," Research in Economics, Elsevier, vol. 67(4), pages 336-354.
    2. Li, XiaoLi & You, JinHong, 2012. "Error covariance matrix correction based approach to functional coefficient regression models with generated covariates," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 263-281.
    3. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
    4. Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2017. "Are University Admissions Academically Fair?," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 449-464, July.
    5. Ma, Jun & Marmer, Vadim & Shneyerov, Artyom, 2019. "Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator," Journal of Econometrics, Elsevier, vol. 211(2), pages 507-538.
    6. Song, Kyungchul, 2014. "Semiparametric models with single-index nuisance parameters," Journal of Econometrics, Elsevier, vol. 178(P3), pages 471-483.
    7. Joris Pinkse, 2000. "Feasible Multivariate Nonparametric Estimation Using Weak Separability," Econometric Society World Congress 2000 Contributed Papers 1241, Econometric Society.

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