Functional Coeï¬ƒcient Estimation with Both Categorical and Continuous Data
We propose a local linear functional coeï¬ƒcient estimator that admits a mix of discrete and continuous data for stationary time series. Under weak conditions our estimator is asymptotically normally distributed. A small set of simulation studies is carried out to illustrate the ï¬ nite sample performance of our estimator. As an application, we estimate a wage determination function that explicitly allows the return to education to depend on other variables. We ï¬ nd evidence of the complex interacting patterns among the regressors in the wage equation, such as increasing returns to education when experience is very low, high return to education for workers with several years of experience, and diminishing returns to education when experience is high. Compared with the commonly used parametric and semi-parametric methods, our estimator performs better in both goodness-of-ï¬ t and in yielding economically interesting interpretation.
|Date of creation:||Jun 2009|
|Date of revision:||Jun 2009|
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- David Card & Thomas Lemieux, 2001.
"Can Falling Supply Explain the Rising Return to College for Younger Men? A Cohort-Based Analysis,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 116(2), pages 705-746.
- David Card & Thomas Lemieux, 2000. "Can Falling Supply Explain the Rising Return to College for Younger Men? A Cohort-Based Analysis," NBER Working Papers 7655, National Bureau of Economic Research, Inc.
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- Murphy, Kevin M & Welch, Finis, 1990. "Empirical Age-Earnings Profiles," Journal of Labor Economics, University of Chicago Press, vol. 8(2), pages 202-229, April.
- Jacob A. Mincer, 1974. "Introduction to "Schooling, Experience, and Earnings"," NBER Chapters,in: Schooling, Experience, and Earnings, pages 1-4 National Bureau of Economic Research, Inc.
- Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
- Jacob A. Mincer, 1974. "Schooling, Experience, and Earnings," NBER Books, National Bureau of Economic Research, Inc, number minc74-1, Enero-Jun.
- David Card & John E. DiNardo, 2002. "Skill-Biased Technological Change and Rising Wage Inequality: Some Problems and Puzzles," Journal of Labor Economics, University of Chicago Press, vol. 20(4), pages 733-783, October.
- David Card & John E. DiNardo, 2002. "Skill Biased Technological Change and Rising Wage Inequality: Some Problems and Puzzles," NBER Working Papers 8769, National Bureau of Economic Research, Inc.
- Peter Hall & Rodney C. L. Wolff & Qiwei Yao, 1999. "Methods for estimating a conditional distribution function," LSE Research Online Documents on Economics 6631, London School of Economics and Political Science, LSE Library.
- Li, Qi & Racine, Jeffrey S., 2010. "Smooth Varying-Coefficient Estimation And Inference For Qualitative And Quantitative Data," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1607-1637, December.
- Li, Qi & Racine, Jeffrey S, 2008. "Nonparametric Estimation of Conditional CDF and Quantile Functions With Mixed Categorical and Continuous Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 423-434.
- Zongwu Cai & Jianqing Fan & Qiwei Yao, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355, March. Full references (including those not matched with items on IDEAS)
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