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

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


Issue Date:
2012
Publication Type:
Journal Article
DOI and Other Identifiers:
st0278 (Other)
PURL Identifier:
http://purl.umn.edu/231783
Published in:
Stata Journal, Volume 12, Number 4
Page range:
726-735
Total Pages:
12

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 Record created 2017-04-01, last modified 2017-04-28

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