Anne Vanhems (ESC-TSE), “Semiparametric transformation model with endogeneity: a control function approach”, Econometrics Seminar, Toulouse: TSE, April 12, 2011, 15:30–17:00, room MF 323.
We consider a semiparametric transformation model, in which the regression function has an additive nonparametric structure and the transformation of the response is supposed to belong to some parametric family. We suppose that endogeneity is present in the explanatory variables. Using a control function approach, we show that the proposed model is identifiable under suitable assumptions, and propose a profile likelihood estimation method for the transformation. The proposed estimator is shown to be asymptotically normal under certain regularity conditions.