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Semiparametric Estimation Of Multiple Equation Models

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  • Picone, Gabriel A.
  • Butler, J.S.

Abstract

This paper proposes a semiparametric estimator for multiple equations multiple index (MEMI) models. Examples of MEMI models include several sample selection models and the multinomial choice model. The proposed estimator minimizes the average distance between the dependent variable unconditional and conditional on an index. The estimator is √N-consistent and asymptotically normally distributed. The paper also provides a Monte Carlo experiment to evaluate the finite-sample performance of the estimator.

Suggested Citation

  • Picone, Gabriel A. & Butler, J.S., 2000. "Semiparametric Estimation Of Multiple Equation Models," Econometric Theory, Cambridge University Press, vol. 16(4), pages 551-575, August.
    • Handle: RePEc:cup:etheor:v:16:y:2000:i:04:p:551-575_16
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    Cited by:

    1. Donkers, A.C.D. & Schafgans, M., 2003. "A Derivative Based Estimator for Semiparametric Index Models," Other publications TiSEM 92ffa14b-de76-4309-8bee-1, Tilburg University, School of Economics and Management.
    2. Lee, Myoung-jae & Kim, Young-sook, 2007. "Multinomial choice and nonparametric average derivatives," Transportation Research Part B: Methodological, Elsevier, vol. 41(1), pages 63-81, January.
    3. Michel Delecroix & Marian Hristache & Valentin Patilea, 2004. "On Semiparametric estimation in Single-Index Regression," Working Papers 2004-17, Center for Research in Economics and Statistics.
    4. Jérôme Foncel & Marian Hristache & Valentin Patilea, 2004. "Semiparametric Single-index Poisson Regression Model with Unobserved Heterogeneity," Working Papers 2004-04, Center for Research in Economics and Statistics.
    5. Donkers, Bas & Schafgans, Marcia M. A., 2005. "A method of moments estimator for semiparametric index models," LSE Research Online Documents on Economics 6815, London School of Economics and Political Science, LSE Library.
    6. Jeff Racine, 2002. "Generalized Semiparametric Binary Prediction," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 117-134, May.

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