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Van Keilegom, Ingrid
and Vanhems, Anne
(2019)
Estimation of a semiparametric transformation model in the presence of endogenety.
Econometric Theory, vol. 35 (n° 1).
pp. 73-110.
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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: | February 2019 |
| Refereed: | Yes |
| Place of Publication: | Cambridge |
| 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: | 23 Aug 2021 14:10 |
| OAI Identifier: | oai:tse-fr.eu:32468 |
| URI: | https://publications.ut-capitole.fr/id/eprint/25849 |
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Estimation of a semiparametric transformation model in the presence of endogeneity. (deposited 30 May 2016 10:49)
- Estimation of a semiparametric transformation model in the presence of endogenety. (deposited 22 May 2018 09:09) [Currently Displayed]
