Abstract
This paper uses insights from the literature on estimation of nonlinear panel data models to construct estimators of a number of semiparametric models with a partially linear index, including the partially linear logit model, the partially linear censored regression model, and the censored regression model with selection. We develop the relevant asymptotic theory for these estimators and we apply the theory to derive the asymptotic distribution of the estimator for the partially linear logit model.We evaluate the finite sample behavior of this estimator using a Monte Carlo study.
Original language | English (US) |
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Title of host publication | Identification and Inference for Econometric Models |
Subtitle of host publication | Essays in Honor of Thomas Rothenberg |
Publisher | Cambridge University Press |
Pages | 520-553 |
Number of pages | 34 |
ISBN (Electronic) | 9780511614491 |
ISBN (Print) | 9780521844413 |
DOIs | |
State | Published - Jan 1 2005 |
All Science Journal Classification (ASJC) codes
- General Economics, Econometrics and Finance