The variance of a rank estimator of transformation models

Koen Jochmans

SciencePo Working papers Main from HAL

Abstract: 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.

Keywords: Influence function; Transformation model; Two-step estimator (search for similar items in EconPapers)
Date: 2012-10
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in Economics Letters, 2012, 117 (1), pp.168 - 169. ⟨10.1016/j.econlet.2012.05.001⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: The variance of a rank estimator of transformation models (2012)
Working Paper: The variance of a rank estimator of transformation models (2012)
Working Paper: The variance of a rank estimator of transformation models (2011)
Working Paper: The variance of a rank estimator of transformation models (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-03399550

DOI: 10.1016/j.econlet.2012.05.001

Access Statistics for this paper

More papers in SciencePo Working papers Main from HAL
Bibliographic data for series maintained by Contact - Sciences Po Departement of Economics ().