Daniel Becker, Alois Kneip, Valentin Patilea
arXiv 20 Jun 2021 · Econometrics
arXiv:2106.10723 · PDF · DOI · OpenAlex · Extracted main text
In this paper, a semiparametric partially linear model in the spirit of Robinson (1988) with Box- Cox transformed dependent variable is studied. Transformation regression models are widely used in applied econometrics to avoid misspecification. In addition, a partially linear semiparametric model is an intermediate strategy that tries to balance advantages and disadvantages of a fully parametric model and nonparametric models. A combination of transformation and partially linear semiparametric model is, thus, a natural strategy. The model parameters are estimated by a semiparametric extension of the so called smooth minimum distance (SmoothMD) approach proposed by Lavergne and Patilea (2013). SmoothMD is suitable for models defined by conditional moment conditions and allows the variance of the error terms to depend on the covariates. In addition, here we allow for infinite-dimension nuisance parameters. The asymptotic behavior of the new SmoothMD estimator is studied under general conditions and new inference methods are proposed. A simulation experiment illustrates the performance of the methods for finite samples.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Li, Q (1996) On the root-n-consistent semiparametric estimation of partially linear models | 1.000 | 8 | 4 | 100% |
| 2 | Robinson, P.M (1988) Root-n-consistent semiparametric regression | 1.000 | 7 | 3 | 100% |
| 3 | Lavergne, P., Patilea, V (2013) Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory self | 0.935 | 11 | 6 | 82% |
| 4 | Deming, D.J (2017) The growing importance of social skills in the labor market | 0.693 | 21 | 1 | 100% |
| 5 | Horowitz, J.L (1998) Semiparametric methods in econometrics | 0.644 | 4 | 1 | 100% |
| 6 | Amemiya, T., Powell, J.L (1981) A comparison of the Box-Cox maximum likelihood estimator and the non-linear two-stage least squares estimator | 0.644 | 2 | 2 | 100% |
| 7 | Powell, J.L (1996) Rescaled methods-of-moments estimation for the Box-Cox regression model | 0.644 | 2 | 2 | 100% |
| 8 | Showalter, M.H (1994) A Monte Carlo investigation of the Box-Cox model and a nonlinear least squares alternative | 0.644 | 2 | 2 | 100% |
| 9 | Altonji, J.G., Bharadwaj, P., Lange, F (2012) Changes in the characteristics of American youth: Implications for adult outcomes | 0.585 | 3 | 1 | 100% |
| 10 | Johnson, N.L., Kotz, S., Balakrishnan, N (1995) Continuous univariate distributions | 0.585 | 3 | 1 | 100% |
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