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LOCAL RANK ESTIMATION OF TRANSFORMATION MODELS WITH FUNCTIONAL COEFFICIENTS

Published online by Cambridge University Press:  22 March 2010

Youngki Shin
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Abstract

This paper considers a nonparametric functional coefficient model with an unknown link function. The model gives flexibility to the standard interaction-variable model by allowing an arbitrary functional form of heterogeneous marginal effects. A local rank estimation procedure is proposed for the functional coefficients along with its asymptotic property.

Type
Brief Report
Information
Econometric Theory , Volume 26 , Issue 6 , December 2010 , pp. 1807 - 1819
Copyright
Copyright © Cambridge University Press 2010

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Footnotes

This paper is based on a part of my thesis. I thank Shakeeb Khan for his encouragement and invaluable guidance. I am also grateful to Jinyong Hahn (coeditor), two anonymous referees, Yulia Kotlyarova, Hiro Kasahara, Sung Jae Jun, and seminar participants at various places for helpful comments on the previous version that led to significant improvements. All errors are mine.

References

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