Robinson's square root of N consistent semiparametric regression estimator in Stata
Vincenzo Verardi
University of Namur, FNRS
(Centre for Research in the Economics of Development)
Namur, Belgium
and Université Libre de Bruxelles
(European Center for Advanced Research in Economics and Statistics
and Center for Knowledge Economics)
Brussels, Belgium
[email protected]
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Nicolas Debarsy
University of Namur
(Center of Research in Regional Economics and Economic Policy)
Namur, Belgium
and Université d'Orléans
(Laboratoire d'Economie D'Orléans)
Orléans, France
[email protected]
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Abstract. In this article, we describe Robinson’s (1988, Econometrica 56: 931–954)
double residual semiparametric regression estimator and Härdle 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).
View all articles by these authors:
Vincenzo Verardi, Nicolas Debarsy
View all articles with these keywords:
semipar, semiparametric estimation, double residual estimator
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