Identification in a fully nonparametric transformation model with heteroscedasticity

DOI10.1016/J.SPL.2020.109018MaRDI QIDQ2657993zbMATH OpenOpenAlexFDO

Authors Nick Kloodt

Publication date 18 March 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.05683

zbMATH Keywords

location scale modelsmodel identificationnonparametric regressiontransformation models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20)

Abstract: The so far most general identification result in the context of nonparametric transformation models is proven. The result is constructive in the sense that it provides an explicit expression of the transformation function.

Cites work

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• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
• Non-Parametric Heteroscedastic Transformation Regression Models for Skewed Data With an Application to Health Care Costs
• Nonparametric identification and estimation of transformation models
• Semiparametric and nonparametric methods in econometrics
• Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable

Cited in

(3)

• Nonparametric identification and estimation of transformation models
• NONPARAMETRIC IDENTIFICATION AND ESTIMATION OF TRUNCATED REGRESSION MODELS WITH HETEROSKEDASTICITY
• Identification and nonparametric estimation of a transformed additively separable model

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