On extending Powell, Stock, and Stoker (1989) to indexes with functionally dependent covariates

Daniel A. Ackerberg and Haiqing Xu

Economics Letters, 2024, vol. 242, issue C

Abstract: In this paper, we extend Powell et al.’s (1989) results to a situation where the index contains functionally dependent covariates. This allows one to obtain semiparametric, root-N consistent, estimates of index parameters when the index includes polynomial or interaction terms.

Keywords: Semiparametric; Index models (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:242:y:2024:i:c:s0165176524003537

DOI: 10.1016/j.econlet.2024.111869

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