The variance of a rank estimator of transformation models

Koen Jochmans (1)

1 ECON - Département d'économie (Sciences Po)

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.

Domains: Humanities and Social Sciences; Economics and Finance

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