Semiparametric transformation model with endogeneity: a control function approach

Van Keilegom, Ingrid and Vanhems, Anne (2011) Semiparametric transformation model with endogeneity: a control function approach. TSE Working Paper, n. 11-243, Toulouse

[img]
Preview
Text
Download (602kB) | Preview
Official URL: http://tse-fr.eu/pub/24640

Abstract

We consider a semiparametric transformation model, in which the regression function 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 likelihood
estimation method for the transformation. The proposed estimator is shown to be
asymptotically normal under certain regularity conditions. A small simulation study
shows that the estimator behaves well in practice.

Item Type: Monograph (Working Paper)
Language: English
Date: 13 May 2011
Place of Publication: Toulouse
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 18 Jan 2012 06:04
Last Modified: 20 Mar 2018 13:27
OAI ID: oai:tse-fr.eu:24640
URI: http://publications.ut-capitole.fr/id/eprint/3593

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year