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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 in its series Sciences Po publications with number 2013-04.

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Date of creation: Jan 2013
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Handle: RePEc:spo:wpmain:info:hdl:2441/dambferfb7dfprc9m01h6f4h2
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  1. Jason Abrevaya & Youngki Shin, 2011. "Rank estimation of partially linear index models," Econometrics Journal, Royal Economic Society, vol. 14(3), pages 409-437, October.
  2. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January.
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  5. Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2008. "Improving point and interval estimates of monotone functions by rearrangement," CeMMAP working papers CWP17/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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  7. 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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  10. Ichimura, Hidehiko & Lee, Sokbae, 2010. "Characterization of the asymptotic distribution of semiparametric M-estimators," Journal of Econometrics, Elsevier, vol. 159(2), pages 252-266, December.
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  12. Jason Abrevaya & Jerry A. Hausman & Shakeeb Khan, 2010. "Testing for Causal Effects in a Generalized Regression Model With Endogenous Regressors," Econometrica, Econometric Society, vol. 78(6), pages 2043-2061, November.
  13. 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.
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  16. 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.
  17. Richard Blundell & James Powell, 2001. "Endogeneity in semiparametric binary response models," CeMMAP working papers CWP05/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  18. Thomas Mroz, . "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," University of Chicago - Population Research Center 84-8, Chicago - Population Research Center.
  19. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
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