估计边际均值效应和边际分位数效应的半参数方法

IF 9.9 3区经济学 Q1 ECONOMICS

Journal of Econometrics Pub Date : 2025-05-01 DOI:10.1016/j.jeconom.2023.05.002

Seong-ho Lee , Yanyuan Ma , Elvezio Ronchetti

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引用次数: 0

摘要

我们考虑了一个半参数广义线性模型，并研究了该模型中边际均值效应和边际分位数效应的估计。我们提出了一个近似极大似然估计，并严格地证明了我们的方法在边际均值效应和边际分位数效应估计中的一致性、渐近正态性和半参数有效性。为了说明有限样本的性能，我们进行了模拟研究，并应用新工具分析了瑞士的非劳动收入数据，发现了一个新的有趣的预测因子。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Semiparametric approach to estimation of marginal mean effects and marginal quantile effects

We consider a semiparametric generalized linear model and study estimation of both marginal mean effects and marginal quantile effects in this model. We propose an approximate maximum likelihood estimator, and rigorously establish the consistency, the asymptotic normality, and the semiparametric efficiency of our method in both the marginal mean effect and the marginal quantile effect estimation. Simulation studies are conducted to illustrate the finite sample performance, and we apply the new tool to analyze a Swiss non-labor income data and discover a new interesting predictor.

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来源期刊

Journal of Econometrics 社会科学-数学跨学科应用

CiteScore

8.60

自引率

1.60%

发文量

220

审稿时长

3-8 weeks

期刊介绍： The Journal of Econometrics serves as an outlet for important, high quality, new research in both theoretical and applied econometrics. The scope of the Journal includes papers dealing with identification, estimation, testing, decision, and prediction issues encountered in economic research. Classical Bayesian statistics, and machine learning methods, are decidedly within the range of the Journal''s interests. The Annals of Econometrics is a supplement to the Journal of Econometrics.