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Publication - Dr Senay Sokullu

    Nonparametric Estimation of Semiparametric Transformation Models


    Florens, J-P & Sokullu, S, 2017, ‘Nonparametric Estimation of Semiparametric Transformation Models’. Econometric Theory, vol 33., pp. 839-873


    In this paper we develop a nonparametric estimation technique for semiparametric transformation models of the form: H(Y) =℘(Z) + X'β + U where H;℘ are unknown functions, is an unknown nite-dimensional parameter vector and the variables (Y;Z) are endogenous. Identification of the model and asymptotic properties of the estimator are analyzed under the mean independence assumption between the error term and the instruments. We show that the estimators are consistent, and a √N-convergence rate and asymptotic normality for β can be attained. The simulations demonstrate that our nonparametric estimates fit the data well.

    Full details in the University publications repository