PAIRWISE DIFFERENCE ESTIMATION WITH NONPARAMETRIC CONTROL VARIABLES*

2007/11/01 by Andres Aradillas‐Lopez, Andrés Aradillas-López, Bo E. Honoré +1 · 3 citations
Mathematics · Economics, Econometrics and Finance · #Statistical Methods and Inference #Advanced Statistical Methods and Models #Monetary Policy and Economic Impact

paper · doi:10.1111/j.1468-2354.2007.00457.x

Abstract

This article extends the pairwise difference estimators for various semilinear limited dependent variable models proposed by Honoré and Powell ( Identification and Inference in Econometric Models . Essays in Honor of Thomas Rothenberg Cambridge: Cambridge University Press, 2005) to permit the regressor appearing in the nonparametric component to itself depend upon a conditional expectation that is nonparametrically estimated. This permits the estimation approach to be applied to nonlinear models with sample selectivity and/or endogeneity, in which a “control variable” for selectivity or endogeneity is nonparametrically estimated. We develop the relevant asymptotic theory for the proposed estimators and we illustrate the theory to derive the asymptotic distribution of the estimator for the partially linear logit model.

Cited by

• A Semiparametric Network Formation Model with Unobserved Linear\n Heterogeneity
• Robust Inference for Convex Pairwise Difference Estimators
• Closed Form Estimators for a Class of Semiparametric Multinomial Choice Models

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