ESTIMATION OF A SEMIPARAMETRIC TRANSFORMATION MODEL IN THE PRESENCE OF ENDOGENEITY
研究存在内生解释变量时半参数变换模型的识别与估计，提出基于控制函数的剖面估计方法，并证明其渐近正态性。
We consider a semiparametric transformation model, in which the regression function has an additive nonparametric structure and the transformation of the response is assumed 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 identified under suitable assumptions, and propose a profile estimation method for the transformation. The proposed estimator is shown to be asymptotically normal under certain regularity conditions. A simulation study shows that the estimator behaves well in practice. Finally, we give an empirical example using the U.K. Family Expenditure Survey.