The variance of a rank estimator of transformation models
Résumé
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.
Domaines
Economies et finances
Origine : Fichiers produits par l'(les) auteur(s)