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Computing nonparametric functional estimates in semiparametric problems

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  • Delgado, Miguel A.

Abstract

We offer a set of FORTRAN routines which compute nonparametric estimates of a number of functionals. The routines are primarily intended to be used in the estimation of semiparametric models. Therefore, the outputs are vectors containing the estimates evaluated at each data point. The routines permit the estimation of conditional expectations, robust conditional location functionals, conditional quantiles and densities. The user may also obtain estimates of other functionals, applied in semiparametric estimation, by defining the input functions appropriately. We also review a number of semiparametric models and discuss their estimation using our routines with the help of standard econometric software.

Suggested Citation

  • Delgado, Miguel A., 1992. "Computing nonparametric functional estimates in semiparametric problems," UC3M Working papers. Economics 5821, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:5821
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    References listed on IDEAS

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    1. Chen, Songnian & Lee, Lung-Fei, 1998. "Efficient Semiparametric Scoring Estimation Of Sample Selection Models," Econometric Theory, Cambridge University Press, vol. 14(4), pages 423-462, August.
    2. Gallant, A. Ronald, 1975. "Seemingly unrelated nonlinear regressions," Journal of Econometrics, Elsevier, vol. 3(1), pages 35-50, February.
    3. Newey, Whitney K, 1990. "Efficient Instrumental Variables Estimation of Nonlinear Models," Econometrica, Econometric Society, vol. 58(4), pages 809-837, July.
    4. Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, vol. 52(2), pages 321-343, March.
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    Cited by:

    1. Inmaculada Mart󹑺-Zarzoso, 2013. "The log of gravity revisited," Applied Economics, Taylor & Francis Journals, vol. 45(3), pages 311-327, January.
    2. Martínez-Zarzoso, Inmaculada & Nowak-Lehmann D., Felicitas & Vollmer, Sebastian, 2007. "The log of gravity revisited," University of Göttingen Working Papers in Economics 64, University of Goettingen, Department of Economics.
    3. repec:got:cegedp:64 is not listed on IDEAS

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    Keywords

    Nonparametric functional estimation;

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