A Method of Moments Estimator for Semiparametric Index Models

44 Pages Posted: 21 Jul 2008

See all articles by Bas Donkers

Bas Donkers

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Erasmus Research Institute of Management (ERIM); Tinbergen Institute

Marcia Schafgans

London School of Economics & Political Science (LSE)

Date Written: July 2005

Abstract

We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators. The functionals used provide moment conditions for the parameters of interest, which are used in the second step within a method-of-moments framework to estimate the parameters of interest. The estimator is shown to be root N consistent and asymptotically normal. We extend the procedure to multiple equation models. Our identification conditions and estimation framework provide natural tests for the number of indices in the model. In addition we discuss tests of separability, additivity, and linearity of the influence of the indices.

JEL Classification: C14, C31, C52

Suggested Citation

Donkers, Bas and Schafgans, Marcia, A Method of Moments Estimator for Semiparametric Index Models (July 2005). LSE STICERD Research Paper No. EM493, Available at SSRN: https://ssrn.com/abstract=1163544

Bas Donkers (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
Rotterdam, NL 3000 DR
Netherlands
+31 10 408 2411 (Phone)
+31 10 408 9169 (Fax)

HOME PAGE: http://https://www.eur.nl/en/people/bas-donkers

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 2411 (Phone)
+31 10 408 9169 (Fax)

HOME PAGE: http://https://www.eur.nl/en/people/bas-donkers

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Marcia Schafgans

London School of Economics & Political Science (LSE) ( email )

Houghton Street
London, WC2A 2AE
United Kingdom

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