Semiparametric Estimation of Simultaneous Equation Microeconometric Models with Index Restrictions
dc.contributor.author | Lee, Lung-fei | en_US |
dc.date.accessioned | 2013-11-14T23:21:31Z | |
dc.date.available | 2013-11-14T23:21:31Z | |
dc.date.issued | 1993-04 | en_US |
dc.identifier.other | MichU DeptE CenREST W93-05 | en_US |
dc.identifier.other | C140 | en_US |
dc.identifier.other | C260 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/100839 | |
dc.description.abstract | This article introduces semiparametric methods for the estimation of simultaneous-equation microeconometric models with index restrictions. The methods are motivated by a semiparametric minimum-distance procedure, which unifies the estimation of both regression-type and linear or nonlinear simultaneous-equation models without emphasis on the construction of instrumental variables. Single-equation and systematic estimation methods and optimal weighting procedures are considered. The estimators are √n-consistent and asymptotically normal. For the estimation of nonparametric regression and some sample selection models where the variances of disturbances are functions of the same indices, the optimal weighted estimator attains Chamberlain's efficient bound for models with conditional moment restrictions. The weighted estimator is shown to be optimal within a class of semiparametric instrumental variables estimators. | en_US |
dc.description.sponsorship | Center for Research on Economic and Social Theory, Department of Economics, University of Michigan | en_US |
dc.relation.ispartofseries | Working Paper | en_US |
dc.subject | Semiparametric Estimation | en_US |
dc.subject | Microeconometrics | en_US |
dc.subject | Simultaneous Equations | en_US |
dc.subject | Nonlinear Simultaneous Equations | en_US |
dc.subject | Index Restrictions | en_US |
dc.subject | Sample Selection Models | en_US |
dc.subject | Limited Dependent Variables | en_US |
dc.subject | Disequilibrium Market Models | en_US |
dc.subject | Semiparametric Regression Models | en_US |
dc.subject | Conditional Moment Restrictions | en_US |
dc.subject | Semiparametric Estimation | en_US |
dc.subject | Semiparametric Instrumental Variables | en_US |
dc.subject | Efficiency Bound | en_US |
dc.subject | Asymptotic Efficiency | en_US |
dc.subject.other | Semiparametric and Nonparametric Methods | en_US |
dc.subject.other | Instrumental Variables (IV) Estimation | en_US |
dc.title | Semiparametric Estimation of Simultaneous Equation Microeconometric Models with Index Restrictions | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Social Sciences | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/100839/1/ECON296.pdf | |
dc.owningcollname | Economics, Department of - Working Papers Series |
Files in this item
-
Economics, Department of - Working Papers Series
Working papers from the Department of Economics
Remediation of Harmful Language
The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.
Accessibility
If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.