Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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SEMIPARAMETRIC ESTIMATION OF REGRESSION FUNCTIONS UNDER SHAPE INVARIANCE RESTRICTIONS.


Category: Econometrics
SEMI- AND NON-PARAMETRIC METHODS III
Tuesday 27th August 2002, 09:30 - 11:00, Room: 4.7
Session Chair(s): Feike C. Drost, CentER, Tilburg University, NETHERLANDS

Presenter(s): Wilke, Ralf

Co-Author(s): none

Keyword(s): consistency, consumer data, regression, semiparametric, simulations

JEL(s): C14, C21, D12

Abstract:

This paper considers the shape invariant modelling approach in semiparametric regression estimation. Nonparametric regression functions of similar shape are linked by parametric transformations with unknown parameters. A computationally convenient estimation procedure is suggested. Finite sample performance of this estimator is investigated by simulations. Consistency of the parameter estimates is shown. An application to consumer data illustrates the importance of this method for applied statistics. Estimation results indicate that the imposed shape invariance restrictions have empirical evidence in the semiparametric modelling of consumer demand.


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Paper Reference Number: 613

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Econometric Society
57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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