The variance of a rank estimator of transformation models

Koen Jochmans

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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
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Citations: View citations in EconPapers (7)

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

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

DOI: 10.1016/j.econlet.2012.05.001

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