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 [Chen, S., 2002. Rank estimation of transformation models. Econometrica 70 (4) 1683–1697] two-step estimator of the link function in a linear transformation model depends on the first-step estimator of the index coefficients.

Keywords: Influence function; Transformation model; Two-step estimator

Domains: Humanities and Social Sciences; Economics and Finance

Koen Jochmans. The variance of a rank estimator of transformation models. Economics Letters, 2012, 117 (1), pp.168 - 169. ⟨10.1016/j.econlet.2012.05.001⟩. ⟨hal-03399550⟩