Pairwise-Difference Rank Estimation of the Transformation Model

Jason Abrevaya

Journal of Business & Economic Statistics, 2003, vol. 21, issue 3, 437-47

Abstract: This article considers pairwise-difference rank estimators of the coefficient vector in a transformation model. These estimators, like other existing rank estimators, require no subjective bandwidth choice. Monte Carlo simulations, numerical asymptotic efficiency comparisons, and two empirical applications suggest that the proposed estimators perform well in comparison with existing semiparametric estimators.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:21:y:2003:i:3:p:437-47

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