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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).

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