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SEMIPAR: Stata module to compute Robinson's (1988) semiparametric regression estimator

Author

Listed:
  • Vincenzo Verardi

    (University of Namur)

  • Nicolas Debarsy

    (Facultés Universitaires Notre Dame de la Paix - FUNDP)

Programming Language

Stata

Abstract

semipar estimates Robinson's (Econometrica, 1988) double residual estimator and estimates the nonlinear relation between the variable set in nonpar and the dependent variable. The test option allows the user to assess whether a polynomial adjustment could be used to approximate the nonparametric fit, per Hardle and Mammen (Annals of Statistics, 1993). The nonparametric estimator used is a gaussian kernel weighted local polynomial fit.

Suggested Citation

  • Vincenzo Verardi & Nicolas Debarsy, 2012. "SEMIPAR: Stata module to compute Robinson's (1988) semiparametric regression estimator," Statistical Software Components S457515, Boston College Department of Economics, revised 04 Jul 2021.
    • Handle: RePEc:boc:bocode:s457515
    Note: This module should be installed from within Stata by typing "ssc install semipar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/s/semipar.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/semipar.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/v/Verardi_Debarsy_12.pdf
    File Function: documentation
    Download Restriction: no
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    Citations

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    Cited by:

    1. Hagen, Tobias, 2013. "Impact of national financial regulation on macroeconomic and fiscal performance after the 2007 financial shock: Econometric analyses based on cross-country data," Economics Discussion Papers 2013-26, Kiel Institute for the World Economy (IfW Kiel).
    2. Hagen, Tobias, 2013. "Impact of national financial regulation on macroeconomic and fiscal performance after the 2007 financial stock: Econometric analyses based on cross-country data," Working Paper Series 02, Frankfurt University of Applied Sciences, Faculty of Business and Law.

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