relation: https://publications.ut-capitole.fr/id/eprint/25849/
title: Estimation of a semiparametric transformation model in the presence of endogenety
creator: Van Keilegom, Ingrid
creator: Vanhems, Anne
subject: B- ECONOMIE ET FINANCE
description: 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.
publisher: Cambridge University Press
date: 2019-02
type: Article
type: PeerReviewed
format: text
language: en
identifier: https://publications.ut-capitole.fr/id/eprint/25849/1/wp_tse_654.pdf
identifier:   Van Keilegom, Ingrid <https://www.idref.fr/170312534> and Vanhems, Anne <https://www.idref.fr/061390313>  (2019) Estimation of a semiparametric transformation model in the presence of endogenety.    Econometric Theory, vol. 35 (n° 1).  pp. 73-110.       
relation: http://tse-fr.eu/pub/32468
relation: 10.1017/S0266466618000026
identifier: 10.1017/S0266466618000026
doi: 10.1017/S0266466618000026
language: en