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The variance of a rank estimator of transformation models

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.
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https://hal-sciencespo.archives-ouvertes.fr/hal-00973007
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Submitted on : Wednesday, May 21, 2014 - 6:17:29 PM
Last modification on : Tuesday, March 22, 2022 - 3:34:50 AM
Long-term archiving on: : Thursday, August 21, 2014 - 10:43:21 AM

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Koen Jochmans. The variance of a rank estimator of transformation models. 2011. ⟨hal-00973007⟩

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