English, Article, Journal or magazine article edition: Identification and Nonparametric Estimation of a Transformed Additively Separable Model David Jacho-Chavez; Arthur Lewbel; Oliver Linton

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Bookmark: http://trove.nla.gov.au/version/73272
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Identification and Nonparametric Estimation of a Transformed Additively Separable Model
Author
  • David Jacho-Chavez
  • Arthur Lewbel
  • Oliver Linton
Physical Description
  • preprint
Notes
  • Let r(x,z) be a function that, along with its derivatives, can be consistently estimated nonparametrically. This paper discusses identification and consistent estimation of the unknown functions H, M, G and F, where r(x, z) =​ H[M (x, z)] and M(x,z) =​ G(x) + F(z). An estimation algorithm is proposed for each of the model's unknown components when r(x, z) represents a conditional mean function. The resulting estimators use marginal integration, and are shown to have a limiting Normal distribution with a faster rate of convergence than unrestricted nonparametric alternatives. Their small sample performance is studied in a Monte Carlo experiment. We empirically apply our results to nonparametrically estimate and test generalized homothetic production functions in four industries within the Chinese economy.
  • Partly separable models; Nonparametric regression; Dimension reduction; Generalized homothetic function; Production function.
  • RePEc:boc:bocoec:652
Language
  • English
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