Semi‐parametric Estimation in a Single‐index Model with Endogenous Variables
نویسندگان
چکیده
منابع مشابه
Estimation in a Semiparametric Partially Linear Errors-in-variables Model
We consider the partially linear model relating a response Y to predictors (X,T ) with mean function XTβ+g(T ) when the X’s are measured with additive error. The semiparametric likelihood estimate of Severini and Staniswalis (1994) leads to biased estimates of both the parameter β and the function g(·) when measurement error is ignored. We derive a simple modification of their estimator which i...
متن کاملEfficient Estimation in a Semiparametric Autoregressive Model
This paper constructs eecient estimates of the parameter in the semi-parametric autoregression model X t = X t?1 + (X t?2) + t with a smooth function and independent and identically distributed innovations t with zero means and nite variances. This will be done under the assumptions that jj + lim sup jxj!1 j(x)j jxj < 1 and that the errors have a density with nite Fisher information for locatio...
متن کاملSemiparametric Qualitative Response Model Estimation with Unknown Heteroscedasticity or Instrumental Variables
This paper provides estimators of discrete choice models, including binary, ordered, and multinomial response (choice) models. The estimators closely resemble ordinary and two stage least squares. The distribution of the models latent variable error is unknown and may be related to the regressors, e.g., the model could have errors that are heteroscedastic or correlated with regressors. The est...
متن کاملSemiparametric Instrumental Variable Estimation in an Endogenous Treatment Model1
In this paper we propose an instrumental variables (IV) estimator for a semiparametric outcome model with endogeous discrete treatment variables. The main contribution of our paper is that the identi cation, consistency and asymptotic normality of our estimator all hold even under misspeci cation of the treatment model. As expected from Newey and McFadden (1994), the covariance matrix for the p...
متن کاملEstimation of a Semiparametric Transformation Model
This paper proposes consistent estimators for transformation parameters in semiparametric models. The problem is to find the optimal transformation into the space of models with a predetermined regression structure like additive or multiplicative separability. We give results for the estimation of the transformation when the rest of the model is estimated nonor semi-parametrically and fulfills ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Scandinavian Journal of Statistics
سال: 2016
ISSN: 0303-6898,1467-9469
DOI: 10.1111/sjos.12247