Semiparametric quasi maximum likelihood estimation of the fractional response model

Santiago Montoya-Blandón and David Jacho-Chávez

Economics Letters, 2020, vol. 186, issue C

Abstract: This paper proposes a new semiparametric estimator of models where the response random variable is a fraction. The estimator is constructed by optimizing a semiparametric quasi-maximum likelihood that utilizes kernel smoothing. Under suitable conditions, the consistency and asymptotic normality of the proposed estimator is established allowing for data-driven bandwidth choices as well as random trimming, and its flexibility and robustness are showcased in a Monte Carlo experiment and an empirical application.

Keywords: Fractional response; Semiparametric estimation; Quasi maximum likelihood; Misspecification (search for similar items in EconPapers)
JEL-codes: C21 C25 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303866

DOI: 10.1016/j.econlet.2019.108769

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