Single-Step Estimation of a Partially Linear Model

Daniel Henderson () and Christopher Parmeter

No 2015-01, Working Papers from University of Miami, Department of Economics

Abstract: In this paper we propose an asymptotically equivalent single-step alternative to the two-step partially linear model estimator in Robinson (1988). The estimator not only has the potential to decrease computing time dramatically, it shows substantial finite sample gains in Monte Carlo simulations.

Keywords: Cross-validation; bandwidth; bias; Monte Carlo; Kernel Publication Status: Under Review (search for similar items in EconPapers)
JEL-codes: C01 C14 C21 (search for similar items in EconPapers)
Date: 2015-01-01
New Economics Papers: this item is included in nep-ecm and nep-ore
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Citations: View citations in EconPapers (1)

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