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Elia LAPENTA (TSE) "A Bootstrap Specification Test for Semiparametric Models with Generated Regressors"
Job market interview
Time: 12:30pm – 13:45 pm
Date: 13th of January 2020
Place: Room 3001
Elia LAPENTA (TSE) “A Bootstrap Specification Test for Semiparametric Models with Generated Regressors”
Abstract : This paper provides a specification test for semiparametric models with nonparametrically generated regressors. Such variables are not observed by the researcher but are nonparametrically identified and estimable. Applications of the test include models with endogenous regressors identified by control functions, semiparametric sample selection models, or binary games with incomplete information. The statistic is built from the residuals of the semiparametric model, and a novel wild bootstrap procedure is shown to provide valid critical values. We consider nonparametric estimators with an automatic bias correction that makes the test implementable without undersmoothing. In simulations the test exhibits good small-sample performances, and an application to women’s labor force participation decisions shows the implementation of the test in a real-data context.