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LOCAL RANK ESTIMATION OF TRANSFORMATIONMODELS WITH FUNCTIONAL COEFFICIENTS

Published online by Cambridge University Press:  22 March 2010

Youngki Shin
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Abstract

This paper considers a nonparametric functionalcoefficient model with an unknown link function. Themodel gives flexibility to the standardinteraction-variable model by allowing an arbitraryfunctional form of heterogeneous marginal effects.A local rank estimation procedureis proposed for the functional coefficients alongwith its asymptotic property.

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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. Ithank Shakeeb Khan for his encouragement andinvaluable guidance. I am also grateful to JinyongHahn (coeditor), two anonymous referees, YuliaKotlyarova, Hiro Kasahara, Sung Jae Jun, andseminar participants at various places for helpfulcomments on the previous version that led tosignificant improvements. All errors are mine.

References

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