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Title: | Estimation of a semiparametric transformation model | Authors: | LINTON, O. SPERLICH, S. VAN KEILEGOM, Ingrid |
Issue Date: | 2008 | Publisher: | INST MATHEMATICAL STATISTICS | Source: | ANNALS OF STATISTICS, 36(2). p. 686-718 | Abstract: | This paper proposes consistent estimators for transformation parameters in semiparametric models. The problem is to find the optimal transformation into the space of models with a predetermined regression structure like additive or multiplicative separability. We give results for the estimation of the transformation when the rest of the model is estimated non- or semi-parametrically and fulfills some consistency conditions. We propose two methods for the estimation of the transformation parameter maximizing a profile likelihood function or minimizing the mean squared distance from independence. First the problem of identification of such models is discussed. We then state asymptotic results for a general class of nonparametric estimators. Finally, we give some particular examples of nonparametric estimators of transformed separable models. The small sample performance is studied in several simulations. | Notes: | [Linton, Oliver] London Sch Econ, Dept Econ, London WC2A 2AE, England. [Sperlich, Stefan] Univ Gottingen, Inst Stat & Okonometrie, D-37073 Gottingen, Germany. [Van Keilegom, Ingrid] Univ Catholique Louvain, Inst Stat, B-1348 Louvain, Belgium. | Keywords: | additive models; generalized structured models; profile likelihood; semi-parametric models; separability; transformation models | Document URI: | http://hdl.handle.net/1942/9760 | ISSN: | 0090-5364 | DOI: | 10.1214/009053607000000848 | ISI #: | 000254502700008 | Category: | A1 | Type: | Journal Contribution |
Appears in Collections: | Research publications |
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