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A Nonparametric Maximum Rank Correlation Estimator

This paper presents a nonparametric and distribution-free estimator for the function h*, of observable exogenous variables, x, in the generalized regression model, y-G(h*(x), mu). The method does not require a parametric specification for either the function h* or for the distribution of the random term mu. The estimation proceeds by maximizing a rank correlation criterion (Han (1987) over a set of functions that are monotone increasing, concave, and homogeneous degree one; the function h* is assumed to belong to this set of functions. The estimator is shown to be strongly consistent.

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File URL: http://cowles.econ.yale.edu/P/cd/d09a/d0918.pdf
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Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 918.

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Length: 23 pages
Date of creation: Jul 1989
Date of revision:
Handle: RePEc:cwl:cwldpp:918
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Web page: http://cowles.econ.yale.edu/

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Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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  1. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
  2. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
  3. Donald W.K. Andrews, 1986. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers," Cowles Foundation Discussion Papers 790, Cowles Foundation for Research in Economics, Yale University.
  4. Powell, James L. & Stock, James H. & Stoker, Thomas M., 1986. "Semiparametric estimation of weighted average derivatives," Working papers 1793-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  5. Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-81, November.
  6. Rosa L. Matzkin, 1987. "Semiparametric Estimation of Monotonic and Concave Utility Functions: The Discrete Choice Case," Cowles Foundation Discussion Papers 830, Cowles Foundation for Research in Economics, Yale University.
  7. Horowitz, Joel L., 1986. "A distribution-free least squares estimator for censored linear regression models," Journal of Econometrics, Elsevier, vol. 32(1), pages 59-84, June.
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