Two-step series estimation and specification testing of (partially) linear models with generated regressors

References

• Ackerberg, D., Chen, X., Hahn, J. (2012). A practical asymptotic variance estimator for Two-Step semiparametric estimators. Review of Economics and Statistics 94(2):481–498. doi:10.1162/REST_a_00251
   Web of Science ®Google Scholar
• Ahn, H., Powell, J. L. (1993). Semiparametric estimation of censored selection models with a nonparametric selection mechanism. Journal of Econometrics 58(1–2):3–29. doi:10.1016/0304-4076(93)90111-H
   Web of Science ®Google Scholar
• Ai, C., Chen, X. (2003). Efficient estimation of models with conditional moment restrictions containing unknown functions. Econometrica 71(6):1795–1843. doi:10.1111/1468-0262.00470
   Web of Science ®Google Scholar
• Ai, C., Chen, X. (2007). Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables. Journal of Econometrics 141(1):5–43. doi:10.1016/j.jeconom.2007.01.013
   Web of Science ®Google Scholar
• Andrews, D. W. K. (1991). Asymptotic normality of series estimators for nonparametric and semiparametric regression models. Econometrica 59(2):307–345. doi:10.2307/2938259
   Web of Science ®Google Scholar
• Andrews, D. W. K. (1994). Asymptotics for semiparametric econometric models via stochastic equicontinuity. Econometrica 62(1):43–72. doi:10.2307/2951475
   Web of Science ®Google Scholar
• Banerjee, A. V., Duflo, E. (2003). Inequality and growth: What can the data say. Journal of Economic Growth 8(3):267–299. doi:10.1023/A:1026205114860
   Web of Science ®Google Scholar
• Barro, R. J. (1977). Unanticipated money growth and unemployment in the United States. The American Economic Review 67(2):101–115.
   Web of Science ®Google Scholar
• Blundell, R., Windmeijer, F. (2000). Identifying demand for health resources using waiting times information. Health Economics 9(6):465–474. doi:10.1002/1099-1050(200009)9:6<465::AID-HEC525>3.0.CO;2-H
   PubMed Web of Science ®Google Scholar
• Carneiro, P., Heckman, J. J., Vytlacil, E. (2011). Estimating marginal returns to education. The American Economic Review 101(6):2754–2781. doi:10.1257/aer.101.6.2754
   PubMed Web of Science ®Google Scholar
• Chen, H. (1988). Convergence rates for parametric components in a partly linear model. Annals of Statistics 16(1):136–146.
   Web of Science ®Google Scholar
• Donald, S. G. (1992). Some asymptotic results for averages of series based non-parametric estimates. Working Paper, Department of Economics, University of Florida.
   Google Scholar
• Donald, S., Newey, W. (1994). Series estimation of semilinear models. Journal of Multivariate Analysis 50(1):30–40. doi:10.1006/jmva.1994.1032
   Web of Science ®Google Scholar
• Engle, R. F., Granger, C. W. J., Rice, J., Weiss, A. (1986). Semiparametric estimates of the relation between weather and electricity sales. Journal of the American Statistical Association 81(394):310–320. doi:10.1080/01621459.1986.10478274
   Web of Science ®Google Scholar
• Gawande, K. (1997). Generated regressors in linear and nonlinear models. Economic Letters 54(2):119–126. doi:10.1016/S0165-1765(97)00014-1
   Web of Science ®Google Scholar
• Geng, X., Martins-Filho, C., Yao, F. (2018). Estimation of a partially linear regression in triangular systems. Working Paper, West Virginia University.
   Google Scholar
• Grossman, G. M., Helpman, E. (1994). Protection for sale. American Economic Review 84(4):833–850.
   Web of Science ®Google Scholar
• Hahn, J., Liao, Z., Ridder, G. (2018). Nonparametric two-Step sieve M estimation and inference. Econometric Theory 34(6):1281–1324. doi:10.1017/S0266466618000014
   Web of Science ®Google Scholar
• Hansen, B. E. (2018). Econometrics. Lecture Notes, The University of Wisconsin.
   Google Scholar
• Härdle, W., Liang, H., Gao, J. (2000). Partially linear models. Heidelberg: Physica-Verlag.
   Google Scholar
• Heckman, J. J. (1978). Dummy endogenous variables in a simultaneous equation system. Econometrica 46(4):931–959. doi:10.2307/1909757
   Web of Science ®Google Scholar
• Heckman, N. E. (1986). Spline smoothing in a partly linear model. Journal of the Royal Statistical Society: Series B (Methodological) 48(2):244–248. doi:10.1111/j.2517-6161.1986.tb01407.x
   Google Scholar
• Henderson, D. J., Parmeter, C. F. (2015). Single-step estimation of a partially linear model. Working paper.
   Google Scholar
• Hong, Y., White, H. (1995). Consistent specification testing via nonparametric series regression. Econometrica 63(5):1133–1159. doi:10.2307/2171724
   Web of Science ®Google Scholar
• Hoshino, T. (2014). Quantile regression estimation of partially linear additive models. Journal of Nonparametric Statistics 26(3):509–536. doi:10.1080/10485252.2014.929675
   Web of Science ®Google Scholar
• Ichimura, H., Lee, S. (2010). Characterization of the asymptotic distribution of semiparametric M-estimators. Journal of Econometrics 159(2):252–266. doi:10.1016/j.jeconom.2010.05.005
   Web of Science ®Google Scholar
• Lee, S. (2007). Endogeneity in quantile regression models: A control function approach. Journal of Econometrics 141(2):1131–1158. doi:10.1016/j.jeconom.2007.01.014
   Web of Science ®Google Scholar
• Li, Q. (2000). Efficient estimation of additive partially linear models. International Economic Review 41(4):1073–1092. doi:10.1111/1468-2354.00096
   Web of Science ®Google Scholar
• Li, Q., Wooldridge, J. M. (2002). Semiparametric estimation of partially linear models for dependent data with generated regressors. Econometric Theory 18(3):625–645. doi:10.1017/S0266466602183034
   Web of Science ®Google Scholar
• Lorentz, G. G. (1966). Approximation of functions. New York: Chelsea.
   Google Scholar
• Mammen, E., Rothe, C., Schienle, M. (2012). Nonparametric regression with nonparametrically generated covariates. Annuals of Statistics 40(2):1132–1170.
   Web of Science ®Google Scholar
• Mammen, E., Rothe, C., Schienle, M. (2016). Semiparametric estimation with generated covariates. Econometric Theory 32(5):1140–1177. doi:10.1017/S0266466615000134
   Web of Science ®Google Scholar
• Murphy, K. M., Topel, R. H. (1985). Estimation and inference in Two-Step econometric models. Journal of Business & Economic Statistics 3(4):370–379. doi:10.2307/1391724
   Web of Science ®Google Scholar
• Newey, W. K. (1994). Series estimation of regression functionals. Econometric Theory 10(1):1–28. doi:10.1017/S0266466600008203
   Web of Science ®Google Scholar
• Newey, W. K. (2009). Two-Step series estimation of sample selection models. Econometrics Journal 12(1):S217–S229. doi:10.1111/j.1368-423X.2008.00263.x
   Web of Science ®Google Scholar
• Newey, W. K., Powell, J. L., Vella, F. (1999). Nonparametric estimation of triangular simultaneous equations models. Econometrica 67(3):565–603. doi:10.1111/1468-0262.00037
   Web of Science ®Google Scholar
• Ozabaci, D., Henderson, D. J., Su, L. (2014). Additive nonparametric regression in the presence of endogenous regressors. Journal of Business & Economic Statistics 32(4):555–575. doi:10.1080/07350015.2014.917590
   Web of Science ®Google Scholar
• Pagan, A. (1984). Econometric issues in the analysis of regressions with generated regressors. International Economic Review 25(1):221–247. doi:10.2307/2648877
   Web of Science ®Google Scholar
• Pagan, A. (1986). Two stage and related estimators and their applications. The Review of Economic Studies 53(4):517–538. doi:10.2307/2297604
   Web of Science ®Google Scholar
• Pendakur, K., Sperlich, S. (2010). Semiparametric estimation of consumer demand systems in real expenditure. Journal of Applied Econometrics 25(3):420–457. doi:10.1002/jae.1085
   Web of Science ®Google Scholar
• Rilstone, P. (1996). Nonparametric estimation of models with generated regressors. International Economic Review 37(2):299–313. doi:10.2307/2527325
   Web of Science ®Google Scholar
• Robinson, P. M. (1988). Root-N-Consistent semiparametric regression. Econometrica 56(4):931–954. doi:10.2307/1912705
   Web of Science ®Google Scholar
• Song, K. (2014). Semiparametric models with single-index nuisance parameters. Journal of Econometrics 178:471–483. doi:10.1016/j.jeconom.2013.07.004
   Web of Science ®Google Scholar
• Speckman, P. (1988). Kernel smoothing in partial linear models. Journal of the Royal Statistical Society: Series B (Methodological) 50(3):413–436. doi:10.1111/j.2517-6161.1988.tb01738.x
   Google Scholar
• Stengos, T., Yan, B. (2001). Double kernel nonparametric estimation in semiparametric econometric models. Journal of Nonparametric Statistics 13(6):883–906. doi:10.1080/10485250108832882
   Web of Science ®Google Scholar
• Sun, Y., Li, Q. (2006). An alternative series based consistent model specification test. Economics Letters 93(1):37–44. doi:10.1016/j.econlet.2006.03.038
   Web of Science ®Google Scholar
• White, H. (1980). A Heteroskedasticity-Consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48(4):817–838. doi:10.2307/1912934
   Web of Science ®Google Scholar
• Zhou, Y., Liang, H. (2009). Statistical inference for semiparametric varying-coefficient partially linear models with error-prone linear covariates. Annals of statistics 37(1):427–458.
   PubMed Web of Science ®Google Scholar