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On extending Powell, Stock, and Stoker (1989) to indexes with functionally dependent covariates

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  • Ackerberg, Daniel A.
  • Xu, Haiqing

Abstract

In this paper, we extend Powell et al.’s (1989) results to a situation where the index contains functionally dependent covariates. This allows one to obtain semiparametric, root-N consistent, estimates of index parameters when the index includes polynomial or interaction terms.

Suggested Citation

  • Ackerberg, Daniel A. & Xu, Haiqing, 2024. "On extending Powell, Stock, and Stoker (1989) to indexes with functionally dependent covariates," Economics Letters, Elsevier, vol. 242(C).
    • Handle: RePEc:eee:ecolet:v:242:y:2024:i:c:s0165176524003537
    DOI: 10.1016/j.econlet.2024.111869
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    References listed on IDEAS

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    1. Lee, Lung-fei, 1995. "Semiparametric maximum likelihood estimation of polychotomous and sequential choice models," Journal of Econometrics, Elsevier, vol. 65(2), pages 381-428, February.
    2. Matzkin, Rosa L, 1992. "Nonparametric and Distribution-Free Estimation of the Binary Threshold Crossing and the Binary Choice Models," Econometrica, Econometric Society, vol. 60(2), pages 239-270, March.
    3. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    4. Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
    5. Shakeeb Khan & Fu Ouyang & Elie Tamer, 2021. "Inference on semiparametric multinomial response models," Quantitative Economics, Econometric Society, vol. 12(3), pages 743-777, July.
    6. Arthur Lewbel, 1998. "Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors," Econometrica, Econometric Society, vol. 66(1), pages 105-122, January.
    7. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July.
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    9. Hyungtaik Ahn & Hidehiko Ichimura & James L. Powell & Paul A. Ruud, 2018. "Simple Estimators for Invertible Index Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 1-10, January.
    10. Hyungtaik Ahn & Hidehiko Ichimura & James L. Powell & Paul A. Ruud, 2018. "Rejoinder for “Simple Estimators for Invertible Index Models”," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 22-23, January.
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    Keywords

    Semiparametric; Index models;

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