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Year of publication
Subject
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average derivative functionals 2 generalized methods of moments estimator 2 multiple index models 2 rank testing 2 Semiparametric estimation 1 semiparametric estimation 1
Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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English 1 Undetermined 1
Author
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Donkers, Bas 2 Schafgans, Marcia M 1 Schafgans, Marcia M. A. 1
Institution
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London School of Economics (LSE) 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1
Published in...
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LSE Research Online Documents on Economics 1 STICERD - Econometrics Paper Series 1
Source
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RePEc 2
Showing 1 - 2 of 2
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A method of moments estimator for semiparametric index models
Donkers, Bas; Schafgans, Marcia M. A. - London School of Economics (LSE) - 2005
We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators. The functionals used provide moment conditions...
Persistent link: https://www.econbiz.de/10010884702
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Cover Image
A method of moments estimator for semiparametric index models
Donkers, Bas; Schafgans, Marcia M - Suntory and Toyota International Centres for Economics … - 2005
‡ Contents: Abstract 1. Introduction 2. Estimating average derivative functionals 3 Parameter identi.cation and estimation 4 … a larger set of average derivative functionals to rem- edy this identi�cation problem. Each of these average derivative … important, though, is the result that with these additional average derivative functionals the parameters in multiple index …
Persistent link: https://www.econbiz.de/10005151146
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