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Identification and Nonparametric Estimation of a Transformed Additively Separable Model

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  • David Jacho-Chavez

    (Indiana University)

  • Arthur Lewbel

    ()
    (Boston College)

  • Oliver Linton

    (London School of Economics)

Abstract

Let r(x,z) be a function that, along with its derivatives, can be consistently estimated nonparametrically. This paper discusses identification and consistent estimation of the unknown functions H, M, G and F, where r(x, z) = H[M (x, z)] and M(x,z) = G(x) + F(z). An estimation algorithm is proposed for each of the model's unknown components when r(x, z) represents a conditional mean function. The resulting estimators use marginal integration, and are shown to have a limiting Normal distribution with a faster rate of convergence than unrestricted nonparametric alternatives. Their small sample performance is studied in a Monte Carlo experiment. We empirically apply our results to nonparametrically estimate and test generalized homothetic production functions in four industries within the Chinese economy.

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Bibliographic Info

Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 652.

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Length: 72 pages
Date of creation: 04 Sep 2006
Date of revision: 26 Nov 2008
Handle: RePEc:boc:bocoec:652

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Keywords: Partly separable models; Nonparametric regression; Dimension reduction; Generalized homothetic function; Production function.;

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References

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Citations

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Cited by:
  1. Pierre-Andre Chiappori & Ivana Komunjer, 2008. "Correct Specification and Identification of Nonparametric Transformation Models," Working Papers 2009-003, Becker Friedman Institute for Research In Economics.
  2. Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen, 2011. "Nonparametric Identification and Estimation of Transformation Models," CAM Working Papers 2011-01, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  3. Van Keilegom, Ingrid & Vanhems, Anne, 2011. "Semiparametric transformation model with endogeneity: a control function approach," TSE Working Papers 11-243, Toulouse School of Economics (TSE).
  4. Arthur Lewbel & Xun Lu & Liangjun Su, 2012. "Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models," Boston College Working Papers in Economics 817, Boston College Department of Economics, revised 01 May 2013.

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