Tools
Tools
Van Keilegom, Ingrid
and Vanhems, Anne
(2016)
Estimation of a semiparametric transformation model in the presence of endogeneity.
TSE Working Paper, n. 16-654, Toulouse
Preview |
Text
Download (468kB) | Preview |
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: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | May 2016 |
| Place of Publication: | Toulouse |
| 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) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 30 May 2016 10:49 |
| Last Modified: | 02 Apr 2021 15:53 |
| OAI Identifier: | oai:tse-fr.eu:30482 |
| URI: | https://publications.ut-capitole.fr/id/eprint/21994 |
Available Versions of this Item
- Estimation of a semiparametric transformation model in the presence of endogeneity. (deposited 30 May 2016 10:49) [Currently Displayed]
