Semiparametric Modelling and Estimation: A Selective Overview

Dennis Kristensen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they allow for added flexibility over fully parametric models, and at the same time estimators of parametric components can be developed that exhibit standard parametric convergence rates. These two features have made semiparametric models and estimators increasingly popular in applied economics. We give a partial overview over the literature on semiparametric modelling and estimation with particular emphasis on semiparametric regression models. The main focus is on developing two-step semiparametric estimators and deriving their asymptotic properties. We do however also briefly discuss sieve-based estimators and semiparametric efficiency.

Keywords: efficiency; kernel estimation; regression; semiparametric; sieve; two-step estimation (search for similar items in EconPapers)
JEL-codes: C13 C14 C51 (search for similar items in EconPapers)
Pages: 42
Date: 2009-09-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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