The variance of a rank estimator of transformation models

Koen Jochmans

Working Papers from HAL

Abstract: This note shows that the asymptotic variance of Chen's [Econometrica, 70, 4 (2002), 1683-1697] two-step estimator of the link function in a linear transformation model depends on the first-step estimator of the index coefficients.

Date: 2011-07
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-00973007
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://sciencespo.hal.science/hal-00973007/document (application/pdf)

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 (2012)
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:wpaper:hal-00973007

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().