Estimation of a semiparametric transformation model
(2006) , 38 pages
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- Authors
- Abstract
- This paper proposes consistent estimators for transformation parameters in semiparametric models. The problem is to find the optimal transformation into the space of models with a predetermined regression structure like additive or multiplicative separability. We give results for the estimation of the transformation when the rest of the model is estimated non-or semi-parametrically and fulfills some consistency conditions. We propose two methods for the estimation of the transformation parameter: maximizing a profile likelihood function or minimizing the mean squared distance from independence. First the problem of identification of such models is discussed. We then state asymptotic results for a general class of nonparametric estimators. Finally, we give some particular examples of nonparametric estimators of transformed separable models. The theoretical results as well as the small sample performance are studied by several simulation exercises.
- Affiliations
London School of Economics Department of Economics Georg August Universitat Institut für Statistik und Ökonometrie
Citations
Linton, O., Sperlich, S., & Van Keilegom, I. (2006). Estimation of a semiparametric transformation model (STAT Discussion Paper 0610). https://hdl.handle.net/2078.5/32589