ESTIMATION OF A SEMIPARAMETRIC TRANSFORMATION MODEL IN THE PRESENCE OF ENDOGENEITY

B-Tier
Journal: Econometric Theory
Year: 2019
Volume: 35
Issue: 1
Pages: 73-110

Authors (2)

Vanhems, Anne (not in RePEc) Van Keilegom, Ingrid (KU Leuven)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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 proposed 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 estimator behaves well in practice. Finally, we give an empirical example using the U.K. Family Expenditure Survey.

Technical Details

RePEc Handle
repec:cup:etheor:v:35:y:2019:i:01:p:73-110_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29