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Estimation of a semiparametric transformation model in the presence of endogeneity

Van Keilegom, Ingrid and Vanhems, Anne (2016) Estimation of a semiparametric transformation model in the presence of endogeneity. TSE Working Paper, n. 16-654, Toulouse

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Official URL: http://tse-fr.eu/pub/30482

Abstract

We consider a semiparametric transformation model, in which the regression func- tion has an additive nonparametric structure and the transformation of the response is assumed to belong to some parametric family. We suppose that endogeneity is present in the explanatory variables. Using a control function approach, we show that the pro- posed model is identified under suitable assumptions, and propose a profile estimation method for the transformation. The proposed estimator is shown to be asymptotically normal under certain regularity conditions. A simulation study shows that the esti- mator behaves well in practice. Finally, we give an empirical example using the U.K. Family Expenditure Survey.

Item Type: Monograph (Working Paper)
Language: English
Date: May 2016
Place of Publication: Toulouse
Uncontrolled Keywords: Causal inference, Semiparametric regression, Transformation models, Profiling, Endogeneity, Instrumental variable, Control function, Additive models
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 30 May 2016 10:49
Last Modified: 21 Mar 2018 13:59
["eprint_fieldname_oai_identifier" not defined]: oai:tse-fr.eu:30482
URI: http://publications.ut-capitole.fr/id/eprint/21994

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