Arbeitspapier

Plug-in semiparametric estimating equations

In parametric regression problems, estimation of the parameter of interest is typically achieved via the solution of a set of unbiased estimating equations. We are interested in problems where in addition to this parameter, the estimating equations consist of an unknown nuisance function which does not depend on the parameter. We study the effects of using a plug-in nonparametric estimator of the nuisance function (for example, a local-linear regression estimator) on the estimability of the parameter. In particular, we specify conditions on the functional estimator which ensure that the parametric rate of consistency for estimating the parameter of interest is preserved, and we give a general asymptotic covariance formula. We apply this theory to three examples.

Sprache
Englisch

Erschienen in
Series: SFB 373 Discussion Paper ; No. 1997,13

Klassifikation
Wirtschaft
Thema
Nonparametric Regression
Missing Data
Generalized Linear Models
Local Linear Regression
Logistic Regression
Partially Linear Models
Semiparametric Regression

Ereignis
Geistige Schöpfung
(wer)
Gutierrez, Roberto G.
Carroll, Raymond J.
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
(wo)
Berlin
(wann)
1995

Handle
URN
urn:nbn:de:kobv:11-10063736
Letzte Aktualisierung
20.09.2024, 08:21 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Gutierrez, Roberto G.
  • Carroll, Raymond J.
  • Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Entstanden

  • 1995

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