Nonparametric Identification and Estimation of Transformation Models
Pierre Chiappori (),
Ivana Komunjer and
Dennis Kristensen ()
No 2011-01, CAM Working Papers from University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics
This paper derives sufficient conditions for nonparametric transformation models to be identified and develops estimators of the identified components. Our nonparametric identification result is global, and is derived under conditions that are substantially weaker than full independence. In particular, we show that a completeness assumption combined with conditional independence with respect to one of the regressors suffices for the model to be identified. The identification result is also constructive in the sense that it yields explicit expressions of the functions of interest. We show how natural estimators can be developed from these expressions, and analyze their theoretical properties. Importantly, it is demonstrated that the proposed estimator of the unknown transformation function converges at the parametric rate.
Keywords: nonparametric identification; transformation models; kernel estimation (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.econ.ku.dk/cam/wp0910/2011-01.pdf/ [302 Found]--> https://www.econ.ku.dk/cam/wp0910/2011-01.pdf/)
Journal Article: Nonparametric identification and estimation of transformation models (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kud:kuieca:2011_01
Access Statistics for this paper
More papers in CAM Working Papers from University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics Øster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Hoffmann ().