Nonparametric Estimation of Semiparametric Transformation Models

Senay Sokullu

Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK

Abstract: In this paper we develop a nonparametric estimation technique for semiparametric transformation models of the form: H(Y)=P(Z)+X'B+U where H,P and B and are unknown and the variables (Y,Z) are endogenous. Identification of the model and asymptotic properties of the estimator are analyzed under the mean independence assumption between the error term and the instruments. We show that the estimators are consistent and root N convergence rate for the estimate of B can be attained. The simulations demonstrate that our nonparametric estimates fits the data well.

Keywords: Nonparametric IV Regression; Inverse problems; Tikhonov Regularization; Regularization Parameter (search for similar items in EconPapers)
JEL-codes: C13 C14 C30 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2012-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: NONPARAMETRIC ESTIMATION OF SEMIPARAMETRIC TRANSFORMATION MODELS (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bri:uobdis:12/625

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