Rank estimation of a transformation model with observed truncation

Jason Abrevaya

Econometrics Journal, 1999, vol. 2, issue 2, pages 292-305

Abstract: This paper introduces rank estimators for a general transformation model with observable truncation points. The estimators, which are modified versions of the rank estimators of Han (1987) and Cavanagh and Sherman (1998), are asymptotically normal and require no bandwidth choice. Log-concavity of the error disturbance?s survival function is a sufficient condition for the associated monotonicity conditions. Monte Carlo simulations investigate the estimators? behavior for various sample sizes.

Keywords: Truncated data; Transformation model; Rank estimation. (search for similar items in EconPapers)
Date: 1999
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Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:2:y:1999:i:2:p:292-305

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