Robinson's square root of n consistent semiparametric regression estimator in Stata

Vincenzo Verardi (1, 2) , Nicolas Debarsy (3)

1 ECARES - European Center for Advanced Research in Economics and Statistics
2 CRED - Centre de Recherche en Economie du Développement
3 CERPE - Centre de Recherches en Economie Régionale et Politique Economique

This paper describes Robinson's (1988) double residual semiparametric regression estimator and Hardle and Mammen's (1993) specification test implementation in Stata. Some simple simulations illustrate how this newly coded estimator outperforms the already available semiparametric plreg command.

Mots clés: Semiparametric estimation

Domaines: Méthodologie [stat.ME]; Applications [stat.AP]

Vincenzo Verardi, Nicolas Debarsy. Robinson's square root of n consistent semiparametric regression estimator in Stata. Stata Journal, 2012, 12 (4), pp.726-735. ⟨hal-00577754⟩