政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/141998

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政大機構典藏 > 社會科學學院 > 經濟學系 > 期刊論文 > Item 140.119/141998

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题名:	Two-step series estimation and specification testing of (partially) linear models with generated regressors
作者:	廖仁哲 Liao, Jen-Che Hsu, Yu-Chin;Lin, Eric S.
贡献者:	經濟系
关键词:	Linear and nonlinear generated regressors;partially linear model;semiparametric linear model;series estimation;specification tests
日期:	2022-08
上传时间:	2022-09-21 11:04:28 (UTC+8)
摘要:	This paper studies three semiparametric models that are useful and frequently encountered in applied econometric work—a linear and two partially linear specifications with generated regressors, i.e., the regressors that are unobserved, but can be nonparametrically estimated from the data. Our framework allows for generated regressors to appear in linear or nonlinear components of partially linear models. We propose two-step series estimators for the finite-dimensional parameters, establish their n−−√-consistency (with sample size n) and asymptotic normality, and provide the asymptotic variance formulae that take into account the estimation error of generated regressors. Moreover, we develop a nonparametric specification test for the models considered. Numerical performances of the proposed estimators and test via simulation experiments and an empirical application illustrate the utility of our approach.
關聯:	Econometric Reviews, Vol.41, No.9, pp.985-1007
数据类型:	article
DOI 連結:	https://doi.org/10.1080/07474938.2022.2082169
DOI:	10.1080/07474938.2022.2082169
显示于类别:	[經濟學系] 期刊論文

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