Computing nonparametric functional estimates in semiparametric problems

We offer a set of FORTRAN routines which compute nonparametric estimates of a number of functionals. The routines are primarily intended to be used in the estimation of semiparametric models. Therefore, the outputs are vectors containing the estimates evaluated at each data point. The routines permit the estimation of conditional expectations, robust conditional location functionals, conditional quantiles and densities. The user may also obtain estimates of other functionals, applied in semiparametric estimation, by defining the input functions appropriately. We also review a number of semiparametric models and discuss their estimation using our routines with the help of standard econometric software