The variance of a rank estimator of transformation models

This note shows that the asymptotic variance of Chen’s [Chen, S., 2002. Rank estimation of transformation models. Econometrica 70 (4) 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:	2012
Authors:	Jochmans, Koen
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 168-169
Publisher:	Elsevier
Subject:	Influence function \| Transformation model \| Two-step estimator

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Type of publication:	Article
Classification:	C14 - Semiparametric and Nonparametric Methods ; C41 - Duration Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041763