Nonparametric estimation of homothetic and homothetically separable functions

Arthur Lewbel and Oliver Linton

No 14/03, CeMMAP working papers from Institute for Fiscal Studies

Abstract: For vectors x and w, let r(x,w) be a function that can be nonparametrically estimated consistently and asymptotically normally. We provide consistent, asymptotically normal estimators for the functions g and h, where r(x,w) = h[g(x),w], g is linearly homogeneous andh is monotonic in g. This framework encompasses homothetic and homothetically separable functions. Such models reduce the curse of dimensionality, provide a natural generalization of linear index models, and are widely used in utility, production, and cost function applications. Extensions to related functional forms include a generalized partly linear model with unknown link function. We provide simulation evidence on the small sample performance of our estimator, and we apply our method to a Chinese production dataset.

Date: 2003-10-01
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https://www.cemmap.ac.uk/wp-content/uploads/2020/08/CWP1403.pdf (application/pdf)

Related works:
Working Paper: Nonparametric Estimation of Homothetic and Homothetically Separable Functions (2003)
Working Paper: Nonparametric estimation of homothetic and homothetically separable functions (2003)
Working Paper: Nonparametric estimation of homothetic and homothetically separable functions (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:14/03

DOI: 10.1920/wp.cem.2003.1403

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