LOCAL RANK ESTIMATION OF TRANSFORMATION MODELS WITH FUNCTIONAL COEFFICIENTS

Youngki Shin

Econometric Theory, 2010, vol. 26, issue 6, 1807-1819

Abstract: This paper considers a nonparametric functional coefficient model with an unknown link function. The model gives flexibility to the standard interaction-variable model by allowing an arbitrary functional form of heterogeneous marginal effects. A local rank estimation procedure is proposed for the functional coefficients along with its asymptotic property.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:26:y:2010:i:06:p:1807-1819_99

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