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Robinson's square root of n consistent semiparametric regression estimator in stata

par Verardi, Vincenzo ;Debarsy, Nicolas
Référence The Stata journal, 12, 4, page (726-735)
Publication Publié, 2012

Article révisé par les pairs

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Résumé :

In this article, we describe Robinson's (1988, Econometrica 56: 931-954) double residual semiparametric regression estimator and Ḧardle 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). © 2012 StataCorp LP.