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Semiparametric estimation of weak and strong separable models

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorRodriguez Poo, Juan M.
dc.contributor.authorSperlich, Stefan
dc.contributor.authorVieu, Philippe
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.date.accessioned2011-01-24T18:35:20Z
dc.date.available2011-01-24T18:35:20Z
dc.date.issued2000-10
dc.description.abstractIn this paper we introduce a general method for estimating semiparametrically the different components in weak or strong separable models. The family of separable models is quite popular in economic theory and empirical research as this structure offers clear interpretation, has straight forward economic consequences and often is justified by theory. As will be seen in this article they are also of statistical interest since they allow to estimate semiparametrically high dimensional complexity without running in the so called curse of dimensionality. Generalized additive models and generalized partial linear models are special cases in this family of models. The idea of the new method is mainly based on a combination of local likelihood and efficient estimators in non or semiparametric models. Although this imposes some hypothesis on the error distribution this yields a very general usable method with little computational costs and high exactness even for small samples. E. g. it enables us to include models for censored and truncated variables which are quite common in quantitative economics. We give the estimation procedures and provide asymptotic theory for them. Implementation is discussed, simulations and an application demonstrate its feasibility in finite sample behaviores
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/10064
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricses
dc.relation.ispartofseries00-69es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadísticaes
dc.subject.otherSeparable modelses
dc.subject.otherLocal likelihoodes
dc.subject.otherNonparametric regressiones
dc.titleSemiparametric estimation of weak and strong separable modelses
dc.typeworking paper*
dspace.entity.typePublication
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