Efficient semiparametric copula estimation of regression models with endogeneity

DOI10.1080/07474938.2021.1957284MaRDI QIDQ5095200zbMATH OpenOpenAlexFDO

Authors Kien C. Tran, Mike G. Tsionas

Publication date 5 August 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2021.1957284

zbMATH Keywords

endogeneityregression modelssemiparametric copulasemiparametric efficientsieve maximum likelihoodtwo-stage least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Identification in a generalization of bivariate probit models with dummy endogenous regressors
• Instrumental variables estimation of the average treatment effect in the correlated random coefficient model
• Modelling sample selection using Archimedean copulas
• Multivariate Dispersion Models Generated From Gaussian Copula
• Nonparametric maximum likelihood estimation by the method of sieves
• On methods of sieves and penalization
• On two stage least squares estimation of the average treatment effect in a random coefficient model
• Probability inequalities for likelihood ratios and convergence rates of sieve MLEs
• Semi-Nonparametric Maximum Likelihood Estimation

Cited in

(3)

• Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies
• Efficient estimation of a semiparametric dynamic copula model
• Robustness of copula-correction models in causal analysis: exploiting between-regressor correlation

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