Semiparametric quasi maximum likelihood estimation of the fractional response model
Authors: S. Montoya-Blandon, D.T. Jacho-Chavez
Publication: Economics Letters, (186), 108769
DOI: 10.1016/j.econlet.2019.108769
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.
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