Semiparametric approach to estimation of marginal mean effects and marginal quantile effects

Seong-ho Lee, Yanyuan Ma and Elvezio Ronchetti

Journal of Econometrics, 2025, vol. 249, issue PA

Abstract: We consider a semiparametric generalized linear model and study estimation of both marginal mean effects and marginal quantile effects in this model. We propose an approximate maximum likelihood estimator, and rigorously establish the consistency, the asymptotic normality, and the semiparametric efficiency of our method in both the marginal mean effect and the marginal quantile effect estimation. Simulation studies are conducted to illustrate the finite sample performance, and we apply the new tool to analyze a Swiss non-labor income data and discover a new interesting predictor.

Keywords: Generalized linear model; Marginal effect; Marginal mean effect; Marginal quantile effect; Misspecification; Robustness; Semiparametric efficiency (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:249:y:2025:i:pa:s0304407623001495

DOI: 10.1016/j.jeconom.2023.05.002

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