Abstract
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.
| Original language | English |
|---|---|
| Journal | Journal of Econometrics |
| DOIs | |
| State | Accepted/In press - 2023 |
Keywords
- Generalized linear model
- Marginal effect
- Marginal mean effect
- Marginal quantile effect
- Misspecification
- Robustness
- Semiparametric efficiency