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Root- N-Consistent Semiparametric Regression

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  • Robinson, Peter M

Abstract

One type of semiparametric regression is b8X A u(Z), where b and u(Z) are an unknown slope coefficient vector and function. Estimates of b based on incorrect parametrization of u are generally inconsist ent, whereas consistent nonparametric estimates converge slowly. An e stimate, bC, is constructed by inserting nonpar-ametric regression es timates in the nonlinear orthogonal projection on Z. Under regularity conditions bC is shown to be N1/2-consistent for b and asymptoticall y normal, and a consistent estimate of its limiting covariance matrix is given. The author discusses the identification problem and bC's e fficiency. Extensions to other econometric models are described. Copyright 1988 by The Econometric Society.

Suggested Citation

  • Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
    • Handle: RePEc:ecm:emetrp:v:56:y:1988:i:4:p:931-54
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