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Nonparametric Estimation of Semiparametric Transformation Models

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  • Senay Sokullu

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Abstract

In this paper we develop a nonparametric estimation technique for semiparametric transformation models of the form: H(Y)=P(Z)+X'B+U where H,P and B and are unknown and the variables (Y,Z) are endogenous. Identification of the model and asymptotic properties of the estimator are analyzed under the mean independence assumption between the error term and the instruments. We show that the estimators are consistent and root N convergence rate for the estimate of B can be attained. The simulations demonstrate that our nonparametric estimates fits the data well.

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File URL: http://www.efm.bris.ac.uk/economics/working_papers/pdffiles/dp12625.pdf
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Bibliographic Info

Paper provided by Department of Economics, University of Bristol, UK in its series Bristol Economics Discussion Papers with number 12/625.

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Length: 45 pages
Date of creation: Jul 2012
Date of revision:
Handle: RePEc:bri:uobdis:12/625

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Related research

Keywords: Nonparametric IV Regression; Inverse problems; Tikhonov Regularization; Regularization Parameter;

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References

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  1. Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2009. "Instrumental Regression in Partially Linear Models," TSE Working Papers 10-167, Toulouse School of Economics (TSE).
  2. Xiaohong Chen & Markus Reiss, 2007. "On Rate Optimality for Ill-posed Inverse Problems in Econometrics," Cowles Foundation Discussion Papers 1626, Cowles Foundation for Research in Economics, Yale University.
  3. Kaiser, Ulrich & Song, Minjae, 2009. "Do media consumers really dislike advertising? An empirical assessment of the role of advertising in print media markets," International Journal of Industrial Organization, Elsevier, vol. 27(2), pages 292-301, March.
  4. Bontemps, C. & Simioni, M. & Surry, Y., 2006. "Semiparametric hedonic price models : assessing the effects of agricultural nonpoint source pollution," Economics Working Paper Archive (Toulouse) 200602, French Institute for Agronomy Research (INRA), Economics Laboratory in Toulouse (ESR Toulouse).
  5. Frédérique Fève & Jean-Pierre Florens, 2010. "The practice of non-parametric estimation by solving inverse problems: the example of transformation models," Econometrics Journal, Royal Economic Society, vol. 13(3), pages S1-S27, October.
  6. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, 09.
  7. Xavier d'Haultfoeuille, 2006. "On the Completeness Condition in Nonparametric Instrumental Problems," Working Papers 2006-32, Centre de Recherche en Economie et Statistique.
  8. Frank M. Bass, 1969. "A New Product Growth for Model Consumer Durables," Management Science, INFORMS, vol. 15(5), pages 215-227, January.
  9. 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.
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Cited by:
  1. 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).
  2. Senay Sokullu, 2012. "Nonparametric Analysis of Two-Sided Markets," Bristol Economics Discussion Papers 12/628, Department of Economics, University of Bristol, UK.

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