Econometrica Vol. 56 No. 4 1988
Root-N-Consistent Semiparametric Regression
Abstract
One type of semiparametric regression is b8X A u(Z), where b and u(Z) are an unknown slope coefficient vector and function. Estimates of b based on incorrect parametrization of u are generally inconsist ent, whereas consistent nonparametric estimates converge slowly. An e stimate, bC, is constructed by inserting nonpar-ametric regression es timates in the nonlinear orthogonal projection on Z. Under regularity conditions bC is shown to be N1/2-consistent for b and asymptoticall y normal, and a consistent estimate of its limiting covariance matrix is given. The author discusses the identification problem and bC's e fficiency. Extensions to other econometric models are described.
- DOI
- 10.2307/1912705
- Volume
- 56
- Issue
- 4
- Pages
- 931
- Sources
- openalex crossref bibtex:phds-export.bib