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Semiparametric transformation model with endogeneity: a control function approach

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  • Vanhems, Anne
  • Van Keilegom, Ingrid

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  • Vanhems, Anne & Van Keilegom, Ingrid, 2011. "Semiparametric transformation model with endogeneity: a control function approach," LIDAM Discussion Papers ISBA 2011011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2011011
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    1. Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function Is Not Smooth," Econometrica, Econometric Society, vol. 71(5), pages 1591-1608, September.
    2. Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
    3. Frédérique Fève & Jean-Pierre Florens, 2010. "The practice of non-parametric estimation by solving inverse problems: the example of transformation models," Econometrics Journal, Royal Economic Society, vol. 13(3), pages 1-27, October.
    4. Dewatripont,Mathias & Hansen,Lars Peter & Turnovsky,Stephen J. (ed.), 2003. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521818728, October.
    5. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
    6. Dewatripont,Mathias & Hansen,Lars Peter & Turnovsky,Stephen J. (ed.), 2003. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521524131, October.
    7. Newey, Whitney K., 1994. "Kernel Estimation of Partial Means and a General Variance Estimator," Econometric Theory, Cambridge University Press, vol. 10(2), pages 1-21, June.
    8. Oliver Linton & E. Mammen & J. Nielsen, 1997. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Cowles Foundation Discussion Papers 1160, Cowles Foundation for Research in Economics, Yale University.
    9. Gorgens, Tue & Horowitz, Joel L., 1999. "Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 90(2), pages 155-191, June.
    10. Guido W. Imbens & Whitney K. Newey, 2009. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity," Econometrica, Econometric Society, vol. 77(5), pages 1481-1512, September.
    11. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    12. Ivar Ekeland & James J. Heckman & Lars Nesheim, 2004. "Identification and Estimation of Hedonic Models," Journal of Political Economy, University of Chicago Press, vol. 112(S1), pages 60-109, February.
    13. Horowitz, Joel L, 2001. "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Econometrica, Econometric Society, vol. 69(2), pages 499-513, March.
    14. Dewatripont,Mathias & Hansen,Lars Peter & Turnovsky,Stephen J. (ed.), 2003. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521818735, October.
    15. Florens, Jean-Pierre & Sokullu, Senay, 2017. "Nonparametric Estimation Of Semiparametric Transformation Models," Econometric Theory, Cambridge University Press, vol. 33(4), pages 839-873, August.
    16. Dewatripont,Mathias & Hansen,Lars Peter & Turnovsky,Stephen J. (ed.), 2003. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521524124, October.
    17. repec:dau:papers:123456789/6486 is not listed on IDEAS
    18. Rosa L. Matzkin, 2003. "Nonparametric Estimation of Nonadditive Random Functions," Econometrica, Econometric Society, vol. 71(5), pages 1339-1375, September.
    19. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric, 2007. "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77, Elsevier.
    21. Dewatripont,Mathias & Hansen,Lars Peter & Turnovsky,Stephen J. (ed.), 2003. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521818742, October.
    22. Whitney K. Newey & James L. Powell & Francis Vella, 1999. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, Econometric Society, vol. 67(3), pages 565-604, May.
    23. Horowitz, Joel L, 1996. "Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable," Econometrica, Econometric Society, vol. 64(1), pages 103-137, January.
    24. Dewatripont,Mathias & Hansen,Lars Peter & Turnovsky,Stephen J. (ed.), 2003. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521524117, October.
    25. Senay Sokullu, 2012. "Nonparametric Analysis of Two-Sided Markets," Bristol Economics Discussion Papers 12/628, School of Economics, University of Bristol, UK.
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    Cited by:

    1. Benjamin Colling & Cédric Heuchenne & Rawane Samb & Ingrid Van Keilegom, 2015. "Estimation of the error density in a semiparametric transformation model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 1-18, February.
    2. Esmeralda A. Ramalho & Joaquim J. S. Ramalho, 2017. "Moment-based estimation of nonlinear regression models with boundary outcomes and endogeneity, with applications to nonnegative and fractional responses," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 397-420, April.
    3. Samb, R. & Heuchenne, C. & Van Keilegom, I., 2011. "Estimation of the error density in a semiparametric transformation model," LIDAM Discussion Papers ISBA 2011023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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