Essays on the econometric theory of rank regressions
Several semiparametric estimators recently developed in the econometrics literature are based on the rank correlation between the dependent and explanatory variables. Examples include the maximum rank correlation estimator (MRC) of Han , the monotone rank estimator (MR) of Cavanagh and Sherman , the pairwise-difference rank estimators (PDR) of Abrevaya , and others. These estimators apply to various monotone semiparametric single-index models, such as the binary choice models, the censored regression models, the nonlinear regression models, and the transformation and duration models, among others, without imposing functional form restrictions on the unknown functions and distributions. This work provides several new results on the theory of rank-based estimators. In Chapter 2 we prove that the quantiles and the variances of their asymptotic distributions can be consistently estimated by the nonparametric bootstrap. In Chapter 3 we investigate the accuracy of inference based on the asymptotic normal and bootstrap approximations, and provide bounds on the associated error. In the case of MRC and MR, the bound is a function of the sample size of order close to n^(-1/6). The PDR estimators, however, belong to a special subclass of rank estimators for which the bound is vanishing with the rate close to n^(-1/2). In Chapter 4 we study the efficiency properties of rank estimators and propose weighted rank estimators that improve efficiency. We show that the optimally weighted MR attains the semiparametric efficiency bound in the nonlinear regression model and the binary choice model. Optimally weighted MRC has the asymptotic variance close to the semiparametric efficiency bound in single-index models under independence when the distribution of the errors is close to normal, and is consistent under practically relevant deviations from the single index assumption. Under moderate nonlinearities and nonsmoothness in the data, the efficiency gains from weighting are likely to be small for MRC in the transformation model and for MRC and MR in the binary choice model, and can be large for MRC and MR in the monotone regression model. Throughout, the theoretical results are illustrated with Monte-Carlo experiments and real data examples
|Date of creation:||Dec 2008|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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(05), pages 1099-1120, October.
- Songnian Chen, 2002. "Rank Estimation of Transformation Models," Econometrica, Econometric Society, vol. 70(4), pages 1683-1697, July.
- Abrevaya, Jason, 1999. "Computation of the maximum rank correlation estimator," Economics Letters, Elsevier, vol. 62(3), pages 279-285, March.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
- Han, Aaron K., 1987. "A non-parametric analysis of transformations," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 191-209, July.
- Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November.
- Alberto Abadie & Guido W. Imbens, 2008.
"On the Failure of the Bootstrap for Matching Estimators,"
Econometric Society, vol. 76(6), pages 1537-1557, November.
- Alberto Abadie & Guido W. Imbens, 2006. "On the Failure of the Bootstrap for Matching Estimators," NBER Technical Working Papers 0325, National Bureau of Economic Research, Inc.
- Imbens, Guido & Abadie, Alberto, 2008. "On the Failure of the Bootstrap for Matching Estimators," Scholarly Articles 3043415, Harvard University Department of Economics.
- Abrevaya, Jason, 2003. "Pairwise-Difference Rank Estimation of the Transformation Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 437-447, July.
- Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(03), pages 295-313, December.
- Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
- Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
- Yoshihiko Nishiyama & Peter M. Robinson, 2005. "The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 73(3), pages 903-948, 05.
- Yoshihiko Nishiyama & Peter Robinson, 2004. "The bootstrap and the Edgeworth correction for semiparametric averaged derivatives," CeMMAP working papers CWP12/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Newey, Whitney K & Stoker, Thomas M, 1993. "Efficiency of Weighted Average Derivative Estimators and Index Models," Econometrica, Econometric Society, vol. 61(5), pages 1199-1223, September.
- Han, Aaron K., 1987. "Non-parametric analysis of a generalized regression model : The maximum rank correlation estimator," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 303-316, July.
- Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
- Klein, R.W. & Spady, R.H., 1991. "An Efficient Semiparametric Estimator for Binary Response Models," Papers 70, Bell Communications - Economic Research Group.
- 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.
- Abrevaya, Jason, 1999. "Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 93(2), pages 203-228, December.
- Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-137, January.
- Chamberlain, Gary, 1992. "Efficiency Bounds for Semiparametric Regression," Econometrica, Econometric Society, vol. 60(3), pages 567-596, May.
- Jason Abrevaya, 1999. "Rank estimation of a transformation model with observed truncation," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 292-305. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:14086. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.