Estimation of a Transformation Model with Truncation, Interval Observation and Time–Varying Covariates
AbstractAbrevaya (1999b) considered estimation of a transformation model in the presence of left–truncation. This paper observes that a cross–sectional version of the statistical model considered in Frederiksen, Honoré, and Hu (2007) is a generalization of the model considered by Abrevaya (1999b) and the generalized model can be estimated by a pairwise comparison version of one of the estimators in Frederiksen, Honoré, and Hu (2007). Specifically, our generalization will allow for discretized observations of the dependent variable and for piecewise constant time–varying explanatory variables.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics in its series CAM Working Papers with number 2009-03.
Length: 16 pages
Date of creation: Dec 2007
Date of revision: Nov 2008
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Other versions of this item:
- Bo E. HonorÈ & Luojia Hu, 2010. "Estimation of a transformation model with truncation, interval observation and time-varying covariates," Econometrics Journal, Royal Economic Society, vol. 13(1), pages 127-144, 02.
- Bo E. Honoré & Luojia Hu, 2009. "Estimation of a transformation model with truncation, interval observation and time-varying covariates," Working Paper Series WP-09-16, Federal Reserve Bank of Chicago.
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