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Robinson's square root of N consistent semiparametric regression estimator in Stata

Vincenzo Verardi and Nicolas Debarsy ()

Stata Journal, 2012, vol. 12, issue 4, 726-735

Abstract: In this article, we describe’s (1988, Econometrica 56: 931– 954) double residual semiparametric regression estimator and H ̈ardle and Mam- men’s (1993, Annals of Statistics 21: 1926–1947) specification test implementation in Stata. We use some simple simulations to illustrate how this newly coded estima- tor outperforms the already available semiparametric plreg command (Lokshin, 2006, Stata Journal 6: 377–383).

Keywords: semipar; semiparametric estimation; double residual estimator (search for similar items in EconPapers)
Date: 2012
Note: to access software from within Stata, net describe
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Working Paper: Robinson's Squareroot-of-n-consistent Semiparametric Regression Estimator in Stata (2011) Downloads
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Handle: RePEc:tsj:stataj:v:12:y:2012:i:4:p:736-735