TY  - JOUR
CY  - Cambridge
ID  - publications25849
UR  - http://tse-fr.eu/pub/32468
IS  - n° 1
A1  - Van Keilegom, Ingrid
A1  - Vanhems, Anne
N2  - 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.
VL  - vol. 35
TI  - Estimation of a semiparametric transformation model in the presence of endogenety
AV  - public
EP  - 110
Y1  - 2019/02//
PB  - Cambridge University Press
JF  - Econometric Theory
KW  - Causal inference
KW  - Semiparametric regression
KW  - Transformation models
KW  - Profiling
KW  - Endogeneity
KW  - Instrumental variable
KW  - Control function
KW  - Additive models
SN  - 0266-4666
SP  - 73
ER  -