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The variance of a rank estimator of transformation models

Author

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  • Koen Jochmans

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

Abstract

This note shows that the asymptotic variance of Chen's [Chen, S., 2002. Rank estimation of transformation models. Econometrica 70 (4) 1683–1697] two-step estimator of the link function in a linear transformation model depends on the first-step estimator of the index coefficients.

Suggested Citation

  • Koen Jochmans, 2012. "The variance of a rank estimator of transformation models," SciencePo Working papers Main hal-03399550, HAL.
    • Handle: RePEc:hal:spmain:hal-03399550
    DOI: 10.1016/j.econlet.2012.05.001
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    References listed on IDEAS

    as
    1. Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-137, January.
    2. Songnian Chen, 2002. "Rank Estimation of Transformation Models," Econometrica, Econometric Society, vol. 70(4), pages 1683-1697, July.
    3. Asparouhova, Elena & Golanski, Robert & Kasprzyk, Krzysztof & Sherman, Robert P. & Asparouhov, Tihomir, 2002. "Rank Estimators For A Transformation Model," Econometric Theory, Cambridge University Press, vol. 18(5), pages 1099-1120, October.
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    Cited by:

    1. Koen Jochmans, 2013. "Pairwise‐comparison estimation with non‐parametric controls," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 340-372, October.
    2. Irene Botosaru & Chris Muris, 2017. "Binarization for panel models with fixed effects," CeMMAP working papers 31/17, Institute for Fiscal Studies.
    3. repec:spo:wpmain:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    4. repec:spo:wpecon:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    5. Arkadiusz Szydlowski, 2017. "Testing a parametric transformation model versus a nonparametric alternative," Discussion Papers in Economics 17/15, Division of Economics, School of Business, University of Leicester.
    6. repec:hal:spmain:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    7. repec:hal:wpspec:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS

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    More about this item

    Keywords

    Influence function; Transformation model; Two-step estimator;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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