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Van Keilegom, Ingrid
and Vanhems, Anne
(2011)
Semiparametric transformation model with endogeneity: a control function approach.
TSE Working Paper, n. 11-243, Toulouse
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Abstract
We consider a semiparametric transformation model, in which the regression function 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 likelihood
estimation method for the transformation. The proposed estimator is shown to be
asymptotically normal under certain regularity conditions. A small simulation study
shows that the estimator behaves well in practice.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | 13 May 2011 |
| Place of Publication: | Toulouse |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 18 Jan 2012 06:04 |
| Last Modified: | 02 Apr 2021 15:36 |
| OAI Identifier: | oai:tse-fr.eu:24640 |
| URI: | https://publications.ut-capitole.fr/id/eprint/3593 |
