Root-N-Consistent Semiparametric Regression

1988/07/01 by Peter M. Robinson · 6 citations
Mathematics · Environmental Science · #Statistical Methods and Inference #Soil Geostatistics and Mapping

paper · doi:10.2307/1912705

openalex publication_date 1988/07/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

Abstract

One type of semiparametric regression is b8X A u(Z), where b and u(Z) are an unknown slope coefficient vector and function. Estimates of b based on incorrect parametrization of u are generally inconsist ent, whereas consistent nonparametric estimates converge slowly. An e stimate, bC, is constructed by inserting nonpar-ametric regression es timates in the nonlinear orthogonal projection on Z. Under regularity conditions bC is shown to be N1/2-consistent for b and asymptoticall y normal, and a consistent estimate of its limiting covariance matrix is given. The author discusses the identification problem and bC's e fficiency. Extensions to other econometric models are described. Copyright 1988 by The Econometric Society.

Citations

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