The variance of a rank estimator of transformation models

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

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Year of publication:	2011-07
Authors:	Jochmans, Koen
Institutions:	Sciences économiques, Sciences Po

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Extent:	application/pdf
Series:	Sciences Po publications.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010775211