On endogeneity and shape invariance in extended partially linear single index models

Gao, Jiti, Kim, Namhyun and Saart, Patrick W. ORCID: https://orcid.org/0000-0002-7611-0383 2020. On endogeneity and shape invariance in extended partially linear single index models. Econometric Reviews 39 (4) , pp. 415-435. 10.1080/07474938.2019.1682313

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Abstract

In this article, the usefulness of the extended generalized partially linear single-index (EGPLSI) model introduced by Xia et al. in its ability to model a flexible shape-invariant specification is elaborated. More importantly, a control function approach is proposed to address the potential endogeneity problems in the EGPLSI model to enhance its applicability to empirical studies. In the process, it is shown that the attractive asymptotic features of the single-index type of a semiparametric model are still valid given intrinsic generated covariates. Our newly developed method is then applied to address the endogeneity of expenditure in the semiparametric analysis of a system of empirical Engel curves by using the British data, highlights the convenient applicability of our proposed method.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Publisher:	Taylor & Francis
ISSN:	0747-4938
Date of First Compliant Deposit:	16 March 2021
Date of Acceptance:	30 November 2019
Last Modified:	12 Nov 2024 15:45
URI:	https://orca.cardiff.ac.uk/id/eprint/139810

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