Single-Step Estimation of a Partially Linear Model

In this paper we propose an asymptotically equivalent single-step alternative to the two-step partially linear model estimator in Robinson (1988). The estimator not only has the potential to decrease computing time dramatically, it shows substantial finite sample gains in Monte Carlo simulations.

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Year of publication:	2015-01-01
Authors:	Henderson, Daniel J. ; Parmeter, Christopher F.
Institutions:	Department of Economics, School of Business
Subject:	Cross-validation \| bandwidth \| bias \| Monte Carlo \| Kernel Publication Status: Under Review

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2015-01
Classification:	C01 - Econometrics ; C14 - Semiparametric and Nonparametric Methods ; C21 - Cross-Sectional Models; Spatial Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011166142