Semiparametric Methods in Econometrics

ISBN-13: 9780387984773 / Angielski / Miękka / 1998 / 220 str.

Joel Horowitz

Opis

Many econometric models contain unknown functions as well as finite-dimensional parameters. Examples of such unknown functions are the distribution function of an unobserved random variable, or a transformation of an observed variable.

Spis treści

1. Introduction.- 2. Single-Index Models.- 2.1 Definition of a Single-Index Model.- 2.2 Why Single-Index Models Are Useful.- 2.3 Other Approaches to Dimension Reduction.- 2.4 Identification of Single-Index Models.- 2.5 EstimatingGin a Single-Index Modei.- 2.6 Optimization Estimators ofß.- 2.7 Direct Semiparametric Estimators.- 2.8 Bandwidth Selection.- 2.9 An Empirical Example.- 3. Binary Response Models.- 3.1 Random-Coefficients Models.- 3.2 Identification.- 3.3 Estimation.- 3.4 Extensions of the Maximum Score and Smoothed Maximum Score Estimators.- 3.5 An Empirical Example.- 4. Deconvolution Problems.- 4.1 A Model of Measurement Error.- 4.2 Models for Panel Data.- 4.3 Extensions.- 4.4 An Empirical Example.- 5. Transformation Models.- 5.1 Estimation with ParametricTand NonparametricF.- 5.2 Estimation with NonparametricTand ParametricF.- 5.3 Estimation when BothTandFare Nonparametric.- 5.4 Predicting Y Conditional onX.- 5.5 An Empirical Example.- Appendix: Nonparametric Estimation.- A.1 Nonparametric Density Estimation.- A.2 Nonparametric Mean Regression.- References.