Rank estimation of a transformation model with observed truncation
AbstractThis paper introduces rank estimators for a general transformation model with observable truncation points. The estimators, which are modified versions of the rank estimators of Han (1987) and Cavanagh and Sherman (1998), are asymptotically normal and require no bandwidth choice. Log-concavity of the error disturbance?s survival function is a sufficient condition for the associated monotonicity conditions. Monte Carlo simulations investigate the estimators? behavior for various sample sizes.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 2 (1999)
Issue (Month): 2 ()
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