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Nonparametric regression with nonparametrically generated covariates

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  • Mammen, Enno
  • Rothe, Christoph
  • Schienle, Melanie

Abstract

We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with generated covariates. Such estimators appear in numerous econometric applications, including nonparametric estimation of simultaneous equation models, sample selection models, treatment effect models, and censored regression models, but so far there seems to be no unified theory to establish their statistical properties. Our paper provides such results, allowing to establish asymptotic properties like rates of consistency or asymptotic normality for a wide range of semi- and nonparametric estimators. We also show how to account for the presence of nonparametrically generated regressors when computing standard errors.

Suggested Citation

  • Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2010-059
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    References listed on IDEAS

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    Cited by:

    1. Vanhems, Anne & Van Keilegom, Ingrid, 2011. "Semiparametric transformation model with endogeneity: a control function approach," LIDAM Discussion Papers ISBA 2011011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Van Keilegom, Ingrid & Vanhems, Anne, 2011. "Semiparametric transformation model with endogeneity: a control function approach," TSE Working Papers 11-243, Toulouse School of Economics (TSE).

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    Keywords

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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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