IDEAS home Printed from https://ideas.repec.org/p/hal/spmain/hal-00973007.html
   My bibliography  Save this paper

The variance of a rank estimator of transformation models

Author

Listed:
  • Koen Jochmans

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Koen Jochmans, 2011. "The variance of a rank estimator of transformation models," SciencePo Working papers Main hal-00973007, HAL.
    • Handle: RePEc:hal:spmain:hal-00973007
    Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-00973007
    as

    Download full text from publisher

    File URL: https://sciencespo.hal.science/hal-00973007/document
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-137, January.
    2. Songnian Chen, 2002. "Rank Estimation of Transformation Models," Econometrica, Econometric Society, vol. 70(4), pages 1683-1697, July.
    3. Asparouhova, Elena & Golanski, Robert & Kasprzyk, Krzysztof & Sherman, Robert P. & Asparouhov, Tihomir, 2002. "Rank Estimators For A Transformation Model," Econometric Theory, Cambridge University Press, vol. 18(5), pages 1099-1120, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Koen Jochmans, 2013. "Pairwise‐comparison estimation with non‐parametric controls," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 340-372, October.
    2. Irene Botosaru & Chris Muris, 2017. "Binarization for panel models with fixed effects," CeMMAP working papers 31/17, Institute for Fiscal Studies.
    3. repec:spo:wpmain:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    4. repec:spo:wpecon:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    5. Arkadiusz Szydlowski, 2017. "Testing a parametric transformation model versus a nonparametric alternative," Discussion Papers in Economics 17/15, Division of Economics, School of Business, University of Leicester.
    6. repec:hal:spmain:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    7. repec:hal:wpspec:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Subbotin, Viktor, 2007. "Asymptotic and bootstrap properties of rank regressions," MPRA Paper 9030, University Library of Munich, Germany, revised 20 Mar 2008.
    2. Subbotin, Viktor, 2008. "Essays on the econometric theory of rank regressions," MPRA Paper 14086, University Library of Munich, Germany.
    3. Koen Jochmans, 2013. "Pairwise‐comparison estimation with non‐parametric controls," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 340-372, October.
    4. Bijwaard Govert E. & Ridder Geert & Woutersen Tiemen, 2013. "A Simple GMM Estimator for the Semiparametric Mixed Proportional Hazard Model," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 1-23, July.
    5. Lin, Huazhen & Peng, Heng, 2013. "Smoothed rank correlation of the linear transformation regression model," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 615-630.
    6. repec:spo:wpmain:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    7. repec:hal:wpspec:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    8. Caiyun Fan & Wenbin Lu & Rui Song & Yong Zhou, 2017. "Concordance-assisted learning for estimating optimal individualized treatment regimes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1565-1582, November.
    9. Zhou, He & Zou, Hui, 2024. "The nonparametric Box–Cox model for high-dimensional regression analysis," Journal of Econometrics, Elsevier, vol. 239(2).
    10. Chen, Songnian, 2010. "Root-N-consistent estimation of fixed-effect panel data transformation models with censoring," Journal of Econometrics, Elsevier, vol. 159(1), pages 222-234, November.
    11. Youngki Shin & Zvezdomir Todorov, 2021. "Exact computation of maximum rank correlation estimator," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 589-607.
    12. Hausman, Jerry A. & Woutersen, Tiemen, 2014. "Estimating a semi-parametric duration model without specifying heterogeneity," Journal of Econometrics, Elsevier, vol. 178(P1), pages 114-131.
    13. repec:spo:wpecon:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    14. Khan, Shakeeb & Tamer, Elie, 2007. "Partial rank estimation of duration models with general forms of censoring," Journal of Econometrics, Elsevier, vol. 136(1), pages 251-280, January.
    15. repec:hal:spmain:info:hdl:2441/dambferfb7dfprc9m01h6f4h2 is not listed on IDEAS
    16. Chen, Songnian & Zhang, Hanghui, 2020. "n-prediction of generalized heteroscedastic transformation regression models," Journal of Econometrics, Elsevier, vol. 215(2), pages 305-340.
    17. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    18. Chin-Tsang Chiang & Shr-Yan Huang, 2009. "Estimation for the Optimal Combination of Markers without Modeling the Censoring Distribution," Biometrics, The International Biometric Society, vol. 65(1), pages 152-158, March.
    19. Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017. "Correction," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
    20. Yao Luo & Isabelle Perrigne & Quang Vuong, 2018. "Structural Analysis of Nonlinear Pricing," Journal of Political Economy, University of Chicago Press, vol. 126(6), pages 2523-2568.
    21. Margaret Sullivan Pepe & Tianxi Cai & Gary Longton, 2006. "Combining Predictors for Classification Using the Area under the Receiver Operating Characteristic Curve," Biometrics, The International Biometric Society, vol. 62(1), pages 221-229, March.
    22. 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.
    23. Khan, Shakeeb, 2001. "Two-stage rank estimation of quantile index models," Journal of Econometrics, Elsevier, vol. 100(2), pages 319-355, February.
    24. Irene Botosaru & Chris Muris, 2017. "Binarization for panel models with fixed effects," CeMMAP working papers 31/17, Institute for Fiscal Studies.

    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:spmain:hal-00973007. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Contact - Sciences Po Departement of Economics (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.