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
In this article, we describe http://www.stata-journal.com/software/Robinson’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)
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Working Paper: Robinson's Squareroot-of-n-consistent Semiparametric Regression Estimator in Stata (2011)
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