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Single-Step Estimation of a Partially Linear Model

Author

Listed:
  • Daniel J. Henderson

    (Department of Economics, Finance and Legal Studies, University of Alabama)

  • Christopher F. Parmeter

    (Department of Economics, University of Miami)

Abstract

In this paper we propose an asymptotically equivalent single-step alternative to the two-step partially linear model estimator in Robinson (1988). The estimator not only has the potential to decrease computing time dramatically, it shows substantial finite sample gains in Monte Carlo simulations.

Suggested Citation

  • Daniel J. Henderson & Christopher F. Parmeter, 2015. "Single-Step Estimation of a Partially Linear Model," Working Papers 2015-01, University of Miami, Department of Economics.
    • Handle: RePEc:mia:wpaper:2015-01
    as

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    File URL: http://bus.miami.edu/_assets/files/repec/WP2015-01.pdf
    File Function: First version, 2015
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    References listed on IDEAS

    as
    1. Finan, Frederico & Sadoulet, Elisabeth & de Janvry, Alain, 2005. "Measuring the poverty reduction potential of land in rural Mexico," Journal of Development Economics, Elsevier, vol. 77(1), pages 27-51, June.
    2. Panayiota Lyssiotou & Panos Pashardes & Thanasis Stengos, 2002. "Age effects on consumer demand: an additive partially linear regression model," Canadian Journal of Economics, Canadian Economics Association, vol. 35(1), pages 153-165, February.
    3. Daniel L. Millimet & John A. List & Thanasis Stengos, 2003. "The Environmental Kuznets Curve: Real Progress or Misspecified Models?," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1038-1047, November.
    4. Henderson,Daniel J. & Parmeter,Christopher F., 2015. "Applied Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521279680, January.
    5. Richard Blundell & Frank Windmeijer, 2000. "Identifying demand for health resources using waiting times information," Health Economics, John Wiley & Sons, Ltd., vol. 9(6), pages 465-474, September.
    6. Banerjee, Abhijit V & Duflo, Esther, 2003. "Inequality and Growth: What Can the Data Say?," Journal of Economic Growth, Springer, vol. 8(3), pages 267-299, September.
    7. Martins-Filho, Carlos & Yao, Feng, 2012. "Kernel-based estimation of semiparametric regression in triangular systems," Economics Letters, Elsevier, vol. 115(1), pages 24-27.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Yixiao Jiang, 2020. "A Hausman Test for Partially Linear Models with an Application to Implied Volatility Surface," JRFM, MDPI, vol. 13(11), pages 1-12, November.

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    More about this item

    Keywords

    Cross-validation; bandwidth; bias; Monte Carlo; Kernel Publication Status: Under Review;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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