The variance of a rank estimator of transformation models

This note shows that the asymptotic variance of Chen's [Econometrica, 70, 4 (2002), 1683-1697] two-step estimator of the link function in a linear transformation model depends on the first-step estimator of the index coefficients.

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Additional Info

Field Value
Source https://sciencespo.hal.science/hal-00973007
Author Jochmans, Koen
Maintainer CCSD
Last Updated May 5, 2026, 16:57 (UTC)
Created May 5, 2026, 16:57 (UTC)
Identifier hal-00973007
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Département d'économie (Sciences Po) (ECON) ; Sciences Po (Sciences Po)-Centre National de la Recherche Scientifique (CNRS)
creator Jochmans, Koen
date 2011-07-05T00:00:00
harvest_object_id efe40b5f-206a-4d98-a10a-7304b732d7ff
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2024-07-12T00:00:00
relation info:eu-repo/semantics/altIdentifier/hdl/2441/7nu0cp0n9onjmd89j2a48543o
set_spec type:UNDEFINED