Robinson's square root of N consistent semiparametric regression estimator in Stata
Vincenzo Verardi and
Nicolas Debarsy ()
Stata Journal, 2012, vol. 12, issue 4, 12
In this article, we describe Robinson’s (1988, Econometrica 56: 931–954) double residual semiparametric regression estimator and Härdle and Mammen’s (1993, Annals of Statistics 21: 1926–1947) specification test implementation in Stata. We use some simple simulations to illustrate how this newly coded estimator outperforms the already available semiparametric plreg command (Lokshin, 2006, Stata Journal 6: 377–383).
Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
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Journal Article: Robinson's square root of N consistent semiparametric regression estimator in Stata (2012)
Working Paper: Robinson's Squareroot-of-n-consistent Semiparametric Regression Estimator in Stata (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:stataj:231783
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