Working paper

Estimation of a semiparametric transformation model in the presence of endogeneity

Ingrid Van Keilegom, and Anne Vanhems

Abstract

We consider a semiparametric transformation model, in which the regression func- tion has an additive nonparametric structure and the transformation of the response is assumed to belong to some parametric family. We suppose that endogeneity is present in the explanatory variables. Using a control function approach, we show that the pro- posed model is identified under suitable assumptions, and propose a profile estimation method for the transformation. The proposed estimator is shown to be asymptotically normal under certain regularity conditions. A simulation study shows that the esti- mator behaves well in practice. Finally, we give an empirical example using the U.K. Family Expenditure Survey.

Keywords

Causal inference; Semiparametric regression; Transformation models; Profiling; Endogeneity; Instrumental variable; Control function; Additive models;

Replaced by

Ingrid Van Keilegom, and Anne Vanhems, Estimation of a semiparametric transformation model in the presence of endogenety, Econometric Theory, vol. 35, n. 1, February 2019, pp. 73–110.

Reference

Ingrid Van Keilegom, and Anne Vanhems, Estimation of a semiparametric transformation model in the presence of endogeneity, TSE Working Paper, n. 16-654, May 2016.

See also

Published in

TSE Working Paper, n. 16-654, May 2016