Specification testing for transformation models with an application to generalized accelerated failure-time models

• Main Authors: LEWBEL, Arthur, LU, Xun, SU, Liangjun
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2015
• 主題: Additivity; Control variable; Endogenous variable; Monotonicity; Nonparametric nonseparable model; Hazard model; Specification test; Transformation model; Unobserved heterogeneity; Econometrics; Economics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1636; https://ink.library.smu.edu.sg/context/soe_research/article/2635/viewcontent/SpecTestTansformationModelsGAFT_20130501.pdf
• 機構: Singapore Management University

This paper provides a nonparametric test of the specification of a transformation model. Specifically, we test whether an observable outcome Y is monotonic in the sum of a function of observable covariates X plus an unobservable error U. Transformation models of this form are commonly assumed in eco...