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Rank estimation of a transformation model with observed truncation

Author

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  • JASON ABREVAYA

Abstract

This paper introduces rank estimators for a general transformation model with observable truncation points. The estimators, which are modified versions of the rank estimators of Han (1987) and Cavanagh and Sherman (1998), are asymptotically normal and require no bandwidth choice. Log-concavity of the error disturbance?s survival function is a sufficient condition for the associated monotonicity conditions. Monte Carlo simulations investigate the estimators? behavior for various sample sizes.

Suggested Citation

  • Jason Abrevaya, 1999. "Rank estimation of a transformation model with observed truncation," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 292-305.
    • Handle: RePEc:ect:emjrnl:v:2:y:1999:i:2:p:292-305
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    Citations

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    Cited by:

    1. Khan, Shakeeb & Tamer, Elie, 2007. "Partial rank estimation of duration models with general forms of censoring," Journal of Econometrics, Elsevier, vol. 136(1), pages 251-280, January.
    2. Čížek, Pavel & Lei, Jinghua, 2018. "Identification and estimation of nonseparable single-index models in panel data with correlated random effects," Journal of Econometrics, Elsevier, vol. 203(1), pages 113-128.
    3. Alan Sule & Honoré Bo E. & Hu Luojia & Leth-Petersen Søren, 2014. "Estimation of Panel Data Regression Models with Two-Sided Censoring or Truncation," Journal of Econometric Methods, De Gruyter, vol. 3(1), pages 1-20, January.
    4. Shinya Sugawara, 2013. "An Interval Regression Analysis for Tenures of Japanese Elder Care Workers Using Matched Employer-Employee Data," CIRJE F-Series CIRJE-F-887, CIRJE, Faculty of Economics, University of Tokyo.
    5. Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," LSE Research Online Documents on Economics 103830, London School of Economics and Political Science, LSE Library.
    6. Liu, Tianqing & Yuan, Xiaohui & Sun, Jianguo, 2021. "Weighted rank estimation for nonparametric transformation models with nonignorable missing data," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
    7. Chen, Songnian & Zhou, Xianbo, 2012. "Semiparametric estimation of a truncated regression model," Journal of Econometrics, Elsevier, vol. 167(2), pages 297-304.
    8. Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," Journal of Econometrics, Elsevier, vol. 216(1), pages 175-191.
    9. Subbotin, Viktor, 2008. "Essays on the econometric theory of rank regressions," MPRA Paper 14086, University Library of Munich, Germany.
    10. Subbotin, Viktor, 2007. "Asymptotic and bootstrap properties of rank regressions," MPRA Paper 9030, University Library of Munich, Germany, revised 20 Mar 2008.

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