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Journal Articles Journal of Econometrics Year : 2022

Estimation and Inference of Semiparametric Models Using Data from Several Sources

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Abstract

This paper studies the estimation and inference of nonlinear econometric models when the economic variables are contained in different data sets. We construct a semiparametric minimum distance (SMD) estimator of the unknown structural parameter of interest when there are some common conditioning variables in different data sets. The SMD estimator is shown to be consistent and has an asymptotic normal distribution. We provide the explicit form of the optimal weight for the SMD estimation. We provide a consistent estimator of the variance–covariance matrix of the SMD estimator, and hence inference procedures of the unknown parameter vector. The finite sample performances of the SMD estimators and the proposed inference procedures are investigated in few alternative Monte Carlo simulation studies.
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Dates and versions

hal-03926721 , version 1 (06-01-2023)

Licence

Attribution - NonCommercial - NoDerivatives - CC BY 4.0

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Cite

Moshe Buchinsky, Fanghua Li, Zhipeng Liao. Estimation and Inference of Semiparametric Models Using Data from Several Sources. Journal of Econometrics, 2022, 226 (1), pp.80-103. ⟨10.1016/j.jeconom.2020.10.011⟩. ⟨hal-03926721⟩
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