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LOCAL RANK ESTIMATION OF TRANSFORMATION MODELS WITH FUNCTIONAL COEFFICIENTS

This paper considers a nonparametric functional coefficient model with an unknown link function. The model gives flexibility to the standard interaction-variable model by allowing an arbitrary functional form of heterogeneous marginal effects. <italic>A local rank estimation procedure</italic> is proposed for the functional coefficients along with its asymptotic property.
Year of publication:
2010
Authors: Shin, Youngki
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 26.2010, 06, p. 1807-1819
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008739372
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