Specification Testing for Transformation Models

• Main Authors: LEWBEL, Arthur, LU, Xun, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: additivity; control variable; endogenous variable; monotonicity; nonparametric nonseparable model; hazard model; specification test; transformation model; unobserved heterogeneity; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1489; https://ink.library.smu.edu.sg/context/soe_research/article/2488/viewcontent/Specification_Testing_for_Transformation_Models_2014_wp.pdf
• Institution: Singapore Management University

Consider a nonseparable model Y=R(X,U) where Y and X are observed, while U is unobserved and conditionally independent of X. This paper provides the first nonparametric test of whether R takes the form of a transformation model, meaning that Y is monotonic in the sum of a function of X plus a functi...