Advanced Search
MyIDEAS: Login to save this paper or follow this series

Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models

Contents:

Author Info

  • Arthur Lewbel

    ()
    (Boston College)

  • Xun Lu

    (Hong Kong University of Science and Technology)

  • Liangjun Su

    (Singapore Management University)

Abstract

Consider a nonseparable model Y=R(X,U) where Y and X are observed, while U is unobserved and conditionally independent of X. This paper provides the first nonparametric test of whether R takes the form of a transformation model, meaning that Y is monotonic in the sum of a function of X plus a function of U. Transformation models of this form are commonly assumed in economics, including, e.g., standard specifications of duration models and hedonic pricing models. Our test statistic is asymptotically normal under local alternatives and consistent against nonparametric alternatives. Monte Carlo experiments show that our test performs well in finite samples. We apply our results to test for specifications of generalized accelerated failure-time (GAFT) models of the duration of strikes and of marriages.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://fmwww.bc.edu/EC-P/wp817.pdf
File Function: main text
Download Restriction: no

Bibliographic Info

Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 817.

as in new window
Length:
Date of creation: 24 Dec 2012
Date of revision: 01 May 2013
Handle: RePEc:boc:bocoec:817

Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Related research

Keywords: additivity; control variable; endogenous variable; monotonicity; nonparametric nonseparable model; hazard model; specification test; transformation model; unobserved heterogeneity;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ivar Ekeland & James Heckman & Lars Nesheim, 2002. "Identification and estimation of hedonic models," CeMMAP working papers CWP07/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
  3. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  4. Guido W. Imbens & Whitney K. Newey, 2009. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," Econometrica, Econometric Society, vol. 77(5), pages 1481-1512, 09.
  5. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
  6. Mata, Jose & Portugal, Pedro, 1994. "Life Duration of New Firms," Journal of Industrial Economics, Wiley Blackwell, vol. 42(3), pages 227-45, September.
  7. Stefan Hoderlein & Enno Mammen, 2007. "Identification of Marginal Effects in Nonseparable Models Without Monotonicity," Econometrica, Econometric Society, vol. 75(5), pages 1513-1518, 09.
  8. Hansen, Bruce E., 2008. "Uniform Convergence Rates For Kernel Estimation With Dependent Data," Econometric Theory, Cambridge University Press, vol. 24(03), pages 726-748, June.
  9. Abbring, J.H. & Chiappori, P.A. & Zavadil, T., 2008. "Better Safe than Sorry? Ex Ante and Ex Post Moral Hazard in Dynamic Insurance Data," Discussion Paper 2008-77, Tilburg University, Center for Economic Research.
  10. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-79, June.
  11. Rosa L. Matzkin, 2003. "Nonparametric Estimation of Nonadditive Random Functions," Econometrica, Econometric Society, vol. 71(5), pages 1339-1375, 09.
  12. Richard Blundell & James Powell, 2001. "Endogeneity in semiparametric binary response models," CeMMAP working papers CWP05/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  13. 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.
  14. Joseph G. Altonji & Rosa L. Matzkin, 2005. "Cross Section and Panel Data Estimators for Nonseparable Models with Endogenous Regressors," Econometrica, Econometric Society, vol. 73(4), pages 1053-1102, 07.
  15. Horowitz, Joel L, 2001. "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Econometrica, Econometric Society, vol. 69(2), pages 499-513, March.
  16. Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
  17. Lewbel, Arthur, 1995. "Consistent nonparametric hypothesis tests with an application to Slutsky symmetry," Journal of Econometrics, Elsevier, vol. 67(2), pages 379-401, June.
  18. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
  19. Horowitz, Joel L. & Mammen, Enno, 2011. "Oracle-Efficient Nonparametric Estimation Of An Additive Model With An Unknown Link Function," Econometric Theory, Cambridge University Press, vol. 27(03), pages 582-608, June.
  20. Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
  21. Kennan, John, 1985. "The duration of contract strikes in U.S. manufacturing," Journal of Econometrics, Elsevier, vol. 28(1), pages 5-28, April.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:boc:bocoec:817. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.