n-prediction of generalized heteroscedastic transformation regression models

DOI10.1016/J.JECONOM.2019.09.003MaRDI QIDQ2182129zbMATH OpenOpenAlexFDO

Authors Songnian Chen, Hanghui Zhang

Publication date 21 May 2020

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.09.003

zbMATH Keywords

heteroscedasticity\(\sqrt{n}\)-predictiongeneralized transformation regression model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 88830 (Why is no real title available?)
• scientific article; zbMATH DE number 819196 (Why is no real title available?)
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• Generalized Partially Linear Single-Index Models
• Maximum score estimation of the stochastic utility model of choice
• Non-Parametric Heteroscedastic Transformation Regression Models for Skewed Data With an Application to Health Care Costs
• Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator
• Quantile regression for longitudinal data
• Rank Estimation of Transformation Models
• Rank estimators for monotonic index models
• Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable
• Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
• Semiparametric and nonparametric methods in econometrics
• Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable
• Simulation and the Asymptotics of Optimization Estimators
• The Limiting Distribution of the Maximum Rank Correlation Estimator
• Two-stage rank estimation of quantile index models

Cited in

(2)

• Conditional transformation models
• Maximum pairwise-rank-likelihood-based inference for the semiparametric transformation model

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