Author:
Li Qi,Wooldridge Jeffrey M.
Abstract
In this paper we consider the problem of estimating a
semiparametric partially linear model for dependent data with
generated regressors. This type of model comes naturally from
various econometric models such as a semiparametric rational
expectation model when the surprise term enters the model
nonparametrically, or a semiparametric type-3 Tobit model when
the error distributions are of unknown forms, or a semiparametric
error correction model. Using the nonparametric kernel method and
under primitive conditions, we show that the [square root]n-consistent
estimation results of the finite-dimensional parameter in a partially
linear model can be generalized to the case of generated regressors
with weakly dependent data. The regularity conditions we use
are quite weak, and they are similar to those used in Robinson
(1988, Econometrica 56, 931–954) for independent
and observed data.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
53 articles.
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