Transformation Models in High Dimensions
研究了高维情形下因变量变换模型的估计问题，提出一种变换参数估计量并证明其渐近正态性，模拟显示小样本表现良好，并用美国CPS数据检验了工资对数变换的适用性。
Transformation models are a very important tool for applied statisticians and econometricians. In many applications, the dependent variable is transformed so that homogeneity or normal distribution of the error holds. In this paper, we analyze transformation models in a high-dimensional setting, where the set of potential covariates is large. We propose an estimator for the transformation parameter and we show that it is asymptotically normally distributed using an orthogonalized moment condition where the nuisance functions depend on the target parameter. In a simulation study, we show that the proposed estimator works well in small samples. A common practice in labor economics is to transform wage with the log-function. In this study, we test if this transformation holds in CPS data from the United States.