Likelihood estimation after nonparametric transformation
We propose a two-step likelihood estimation procedure for the coefficients in a semiparametric transformation model. A simple nonparametric estimator for the unknown transformation is substituted into the likelihood. The resulting maximiser is shown to be consistent and asymptotically normal. Numerical studies indicate that the estimator may be as precise as an efficient semiparametric procedure.
Volume (Year): 55 (2001)
Issue (Month): 1 (November)
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- Gorgens, Tue & Horowitz, Joel L., 1999.
"Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable,"
Journal of Econometrics,
Elsevier, vol. 90(2), pages 155-191, June.
- Horowitz, J. & Gorgens, T., 1995. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Working Papers 95-15, University of Iowa, Department of Economics.
- Tue Gorgens & Joel L. Horowitz, 1996. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Econometrics 9603001, EconWPA.
- Horowitz, Joel L, 1996. "Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable," Econometrica, Econometric Society, vol. 64(1), pages 103-137, January. Full references (including those not matched with items on IDEAS)
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