Sieve extremum estimation of a semiparametric transformation model

DOI10.1016/J.ECONLET.2020.109020MaRDI QIDQ2179767zbMATH OpenOpenAlexFDO

Authors Yingqian Lin, Yundong Tu

Publication date 13 May 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2020.109020

zbMATH Keywords

semiparametricsHermite polynomialstransformationsieve methodextremum estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25) Order statistics; empirical distribution functions (62G30) Stochastic approximation (62L20)

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Cites work

• scientific article; zbMATH DE number 47948 (Why is no real title available?)
• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
• An Analysis of Transformations Revisited
• Convergence rates and asymptotic normality for series estimators
• Estimating Optimal Transformations for Multiple Regression and Correlation
• Estimation for single-index and partially linear single-index integrated models
• Estimation of a semiparametric transformation model
• Model specification tests in nonparametric stochastic regression models
• Nonparametric econometrics. Theory and practice.
• Semiparametric single-index panel data models with cross-sectional dependence
• Series estimation for single-index models under constraints
• Smearing Estimate: A Nonparametric Retransformation Method
• Some new asymptotic theory for least squares series: pointwise and uniform results

Cited in

(6)

• Hermite expansion and estimation of monotonic transformations of Gaussian data
• On transformed linear cointegration models
• Estimation of a semiparametric transformation model
• Functional coefficient cointegration models with Box-Cox transformation
• Efficient sieve maximum likelihood estimation of time-transformation models
• A Sieve model for extreme values

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