Estimation of a semiparametric transformation model in the presence of endogenety

Van Keilegom, Ingrid and Vanhems, Anne (2019) Estimation of a semiparametric transformation model in the presence of endogenety. Econometric Theory. (In Press)

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Official URL: http://tse-fr.eu/pub/32468

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: Article
Language: English
Date: 2019
Refereed: Yes
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)
Site: UT1
Date Deposited: 22 May 2018 09:09
Last Modified: 22 Jan 2019 10:34
OAI ID: oai:tse-fr.eu:32468
URI: http://publications.ut-capitole.fr/id/eprint/25849

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