Montoya-Blandón, S. and Jacho-Chávez, D. T. (2020) Semiparametric quasi maximum likelihood estimation of the fractional response model. Economics Letters, 186, 108769. (doi: 10.1016/j.econlet.2019.108769)
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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.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Montoya-Blandon, Dr Santiago |
| Authors: | Montoya-Blandón, S., and Jacho-Chávez, D. T. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | Economics Letters |
| Publisher: | Elsevier |
| ISSN: | 0165-1765 |
| ISSN (Online): | 1873-7374 |
| Published Online: | 21 October 2019 |
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