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Identification in a fully nonparametric transformation model with heteroscedasticity

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  • Kloodt, Nick

Abstract

An identification result for nonparametrically transformed location scale models is proven. The result is constructive in the sense that it provides an explicit expression of the transformation function.

Suggested Citation

  • Kloodt, Nick, 2021. "Identification in a fully nonparametric transformation model with heteroscedasticity," Statistics & Probability Letters, Elsevier, vol. 170(C).
    • Handle: RePEc:eee:stapro:v:170:y:2021:i:c:s0167715220303217
    DOI: 10.1016/j.spl.2020.109018
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    References listed on IDEAS

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    6. Neumeyer, Natalie & Noh, Hohsuk & Van Keilegom, Ingrid, 2016. "Heteroscedastic semiparametric transformation models: estimation and testing for validity," LIDAM Reprints ISBA 2016021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Gorgens, Tue & Horowitz, Joel L., 1999. "Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 90(2), pages 155-191, June.
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