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SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR MODELS FOR DEPENDENT DATA WITH GENERATED REGRESSORS

Published online by Cambridge University Press:  15 May 2002

Qi Li  and
Jeffrey M. Wooldridge
Qi Li
Affiliation:
Texas A&M University
Jeffrey M. Wooldridge
Affiliation:
Michigan State University
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Abstract

In this paper we consider the problem of estimating a semiparametric partially linear model for dependent data with generated regressors. This type of model comes naturally from various econometric models such as a semiparametric rational expectation model when the surprise term enters the model nonparametrically, or a semiparametric type-3 Tobit model when the error distributions are of unknown forms, or a semiparametric error correction model. Using the nonparametric kernel method and under primitive conditions, we show that the [square root]n-consistent estimation results of the finite-dimensional parameter in a partially linear model can be generalized to the case of generated regressors with weakly dependent data. The regularity conditions we use are quite weak, and they are similar to those used in Robinson (1988, Econometrica 56, 931–954) for independent and observed data.

Type
Research Article
Information
Econometric Theory , Volume 18 , Issue 3 , June 2002 , pp. 625 - 645
Copyright
© 2002 Cambridge University Press

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