Semiparametric quasi maximum likelihood estimation of the fractional response model

C-Tier
Journal: Economics Letters
Year: 2020
Volume: 186
Issue: C

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper proposes a new semiparametric estimator of models where the response random variable is a fraction. The estimator is constructed by optimizing a semiparametric quasi-maximum likelihood that utilizes kernel smoothing. Under suitable conditions, the consistency and asymptotic normality of the proposed estimator is established allowing for data-driven bandwidth choices as well as random trimming, and its flexibility and robustness are showcased in a Monte Carlo experiment and an empirical application.

Technical Details

RePEc Handle
repec:eee:ecolet:v:186:y:2020:i:c:s0165176519303866
Journal Field
General
Author Count
2
Added to Database
2026-01-25