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政大典藏 > College of Social Science > Department of Economics > Periodical Articles > Item 140.119/141998

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/141998

Title:	Two-step series estimation and specification testing of (partially) linear models with generated regressors
Authors:	廖仁哲 Liao, Jen-Che Hsu, Yu-Chin;Lin, Eric S.
Contributors:	經濟系
Keywords:	Linear and nonlinear generated regressors;partially linear model;semiparametric linear model;series estimation;specification tests
Date:	2022-08
Issue Date:	2022-09-21 11:04:28 (UTC+8)
Abstract:	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.
Relation:	Econometric Reviews, Vol.41, No.9, pp.985-1007
Data Type:	article
DOI link:	https://doi.org/10.1080/07474938.2022.2082169
DOI:	10.1080/07474938.2022.2082169
Appears in Collections:	[Department of Economics] Periodical Articles

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