A Bootstrap Specification Test for Semiparametric Models with Generated Regressors

Autor:	Lapenta, Elia
Rok vydání:	2022
Předmět:	Economics - Econometrics Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	This paper provides a specification test for semiparametric models with nonparametrically generated regressors. Such variables are not observed by the researcher but are nonparametrically identified and estimable. Applications of the test include models with endogenous regressors identified by control functions, semiparametric sample selection models, or binary games with incomplete information. The statistic is built from the residuals of the semiparametric model. A novel wild bootstrap procedure is shown to provide valid critical values. We consider nonparametric estimators with an automatic bias correction that makes the test implementable without undersmoothing. In simulations the test exhibits good small sample performances, and an application to women's labor force participation decisions shows its implementation in a real data context. Comment: V2 corrects some typos that were present in V1. The Supplementary Material corresponds to Appendix C that is included in the present pdf submitted to ArXiv
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2212.11112 Zobrazit plný text záznamu View this record from Arxiv