Robinson's square root of N consistent semiparametric regression estimator in Stata

In this article, we describe http://www.stata-journal.com/software/Robinson’s (1988, Econometrica 56: 931– 954) double residual semiparametric regression estimator and H ̈ardle and Mam- men’s (1993, Annals of Statistics 21: 1926–1947) specification test implementation in Stata. We use some simple simulations to illustrate how this newly coded estima- tor outperforms the already available semiparametric plreg command (Lokshin, 2006, Stata Journal 6: 377–383).

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Year of publication:	2012
Authors:	Verardi, Vincenzo ; Debarsy, Nicolas
Published in:	Stata Journal. - StataCorp LP. - Vol. 12.2012, 4, p. 726-735
Publisher:	StataCorp LP
Subject:	semipar \| semiparametric estimation \| double residual estimator

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Type of publication:	Article
Notes:	to access software from within Stata, net describe http://www.stata-journal.com/software/sj12-4/st0278/
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011002417