Jochmans, Koen - In: Economics Letters 117 (2012) 1, pp. 168-169
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.