Journal
STATA JOURNAL
Volume 12, Issue 4, Pages 726-735Publisher
SAGE PUBLICATIONS INC
DOI: 10.1177/1536867X1201200411
Keywords
st0278; semipar; semiparametric estimation; double residual estimator
Funding
- National Science Foundation of Belgium (FNRS)
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In this article, we describe Robinson's (1988, Econometrica 56: 931-954) double residual semiparametric regression estimator and Hardle and Mammen's (1993, Annals of Statistics 21: 1926-1947) specification test implementation in Stata. We use some simple simulations to illustrate how this newly coded estimator outperforms the already available semiparametric plreg command (Lokshin, 2006, Stata Journal 6: 377-383).
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