Gradient estimation of the local-constant semiparametric smooth coefficient model

Xin Geng and Kai Sun

Economics Letters, 2019, vol. 185, issue C

Abstract: This paper studies the analytic gradient of the local-constant estimator for the semiparametric smooth coefficient (SPSC) model. This gradient estimator is shown to be consistent and asymptotically normal. A gradient-based cross-validation method for bandwidth selection is proposed for the SPSC model. Simulation suggests that the analytic gradient of the local-constant estimator outperforms the local-linear counterpart with a relatively large sample size. The gradient estimators are then applied to estimate the marginal effects of research and development on capital and labor productivity in China’s high-technology industry.

Keywords: Semiparametric smooth coefficient model; Partial derivative (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303416

DOI: 10.1016/j.econlet.2019.108684

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