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Semiparametric modelling and estimation (in Russian)

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  • Dennis Kristensen

    (Columbia University, New York, USA
    Center for Research in Econometric Analysis of TimE Series, Aarhus, Denmark)

Abstract

Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they allow for added flexibility over fully parametric models, and at the same time estimators of parametric components can be developed that exhibit standard parametric convergence rates. These two features have made semiparametric models and estimators increasingly popular in applied economics. We give a partial overview over the literature on semiparametric modelling and estimation with particular emphasis on semiparametric regression models. The main focus is on developing two-step semiparametric estimators and deriving their asymptotic properties. We do however also briefly discuss sieve-based estimators and semiparametric efficiency.

Suggested Citation

  • Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
    • Handle: RePEc:qnt:quantl:y:2009:i:7:p:53-83
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    References listed on IDEAS

    as
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    9. Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006. "Efficient Estimation of Semiparametric Multivariate Copula Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1228-1240, September.
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    18. Xiaohong Chen & Wei Biao Wu & Yanping Yi, 2009. "Efficient Estimation of Copula-based Semiparametric Markov Models," Cowles Foundation Discussion Papers 1691, Cowles Foundation for Research in Economics, Yale University, revised Mar 2009.
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    21. 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.
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    24. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2007. "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves," Econometrica, Econometric Society, vol. 75(6), pages 1613-1669, November.
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