Rank estimators for monotonic index models

We present a new class of rank estimators of scaled coefficients in semiparametric monotonic linear index models. The estimators require no subjective bandwidth choices and have attractive computational properties. We establish √ n-consistency and asymptotic normality, and provide the general form a...

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Veröffentlicht in:	Journal of econometrics 1998-06, Vol.84 (2), p.351-381
Hauptverfasser:	Cavanagh, Christopher, Sherman, Robert P.
Format:	Artikel
Sprache:	eng
Schlagworte:	Categorical explanatory variables Computational efficiency Econometrics Economic models Estimates Estimating techniques Estimation Exact sciences and technology Linear models Mathematics Matrix Models with multiple indices Nonparametric inference Probability and statistics Rank estimators Sciences and techniques of general use Semiparametric monotonic linear index models Statistical methods Statistical models Statistics Studies U-processes
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