RT Journal Article
SR 00
ID 10.1017/S0266466618000026
A1 Van Keilegom, Ingrid
A1 Vanhems, Anne
T1 Estimation of a semiparametric transformation model in the presence of endogenety
JF Econometric Theory
YR 2019
FD 2019-02
VO vol. 35
IS n° 1
SP 73
OP 110
K1 Causal inference
K1 Semiparametric regression
K1 Transformation models
K1 Profiling
K1 Endogeneity
K1 Instrumental variable
K1 Control function
K1 Additive models
AB 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.
PB Cambridge University Press
SN 0266-4666
LK https://publications.ut-capitole.fr/id/eprint/25849/
UL http://tse-fr.eu/pub/32468