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Pairwise-comparison estimation with nonparametric controls

  • Koen Jochmans

    (Département d'économie)

The purpose of this paper is the presentation of distribution theory for generic estimators based on the pairwise comparison of observations in problems where identification is achieved through the use of control functions. The controls can be specified semi- or non-parametrically. The criterion function may be non-smooth. The theory is applied to the estimation of the coefficients in a monotone linear-index model and to inference on the link function in a partially-linear transformation model. A number of simulation exercises serve to assess the small-sample performance of these techniques.

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Paper provided by Sciences Po Departement of Economics in its series Sciences Po Economics Discussion Papers with number 2013-04.

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Date of creation: Jan 2013
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Handle: RePEc:spo:wpecon:info:hdl:2441/dambferfb7dfprc9m01h6f4h2
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  1. Newey, W.K., 1989. "The Asymptotic Variance Of Semiparametric Estimotors," Papers 346, Princeton, Department of Economics - Econometric Research Program.
  2. V. Chernozhukov & I. Fernández-Val & A. Galichon, 2009. "Improving point and interval estimators of monotone functions by rearrangement," Biometrika, Biometrika Trust, vol. 96(3), pages 559-575.
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  4. Songnian Chen, 2002. "Rank Estimation of Transformation Models," Econometrica, Econometric Society, vol. 70(4), pages 1683-1697, July.
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  7. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January.
  8. Koen Jochmans, 2011. "The variance of a rank estimator of transformation models," Sciences Po publications info:hdl:2441/7nu0cp0n9on, Sciences Po.
  9. Hidehiko Ichimura & Sokbae Lee, 2006. "Characterization of the Asymptotic Distribution of Semiparametric M-Estimators," CIRJE F-Series CIRJE-F-426, CIRJE, Faculty of Economics, University of Tokyo.
  10. Andres Aradillas-Lopez & Bo E. Honoré & James L. Powell, 2007. "Pairwise Difference Estimation With Nonparametric Control Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1119-1158, November.
  11. 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.
  12. Mroz, Thomas A, 1987. "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," Econometrica, Econometric Society, vol. 55(4), pages 765-99, July.
  13. Jason Abrevaya & Youngki Shin, 2011. "Rank estimation of partially linear index models," Econometrics Journal, Royal Economic Society, vol. 14(3), pages 409-437, October.
  14. Sherman, Robert P., 1994. "U-Processes in the Analysis of a Generalized Semiparametric Regression Estimator," Econometric Theory, Cambridge University Press, vol. 10(02), pages 372-395, June.
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  16. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
  17. Khan, Shakeeb, 2001. "Two-stage rank estimation of quantile index models," Journal of Econometrics, Elsevier, vol. 100(2), pages 319-355, February.
  18. Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-37, January.
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