Estimation of a Transformation Model with Truncation, Interval Observation and Time-Varying Covariates

34 Pages Posted: 4 Dec 2009

See all articles by Luojia Hu

Luojia Hu

Federal Reserve Bank of Chicago

Bo E. Honoré

Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: September 1, 2009

Abstract

Abrevaya (1999b) considered estimation of a transformation model in the presence of left-truncation. This paper observes that a cross-sectional version of the statistical model considered in Frederiksen, Honore, and Hu (2007) is a generalization of the model considered by Abrevaya (1999b) and the generalized model can be estimated by a pairwise comparison version of one of the estimators in Frederiksen, Honore, and Hu (2007). Specifically, our generalization will allow for discretized observations of the dependent variable and for piecewise constant time-varying explanatory variables.

Keywords: Transformation Models, Truncation, Censoring, Time-Varying Covariates

JEL Classification: C20, C23, C41

Suggested Citation

Hu, Luojia and Honore, Bo E., Estimation of a Transformation Model with Truncation, Interval Observation and Time-Varying Covariates (September 1, 2009). Available at SSRN: https://ssrn.com/abstract=1517826 or http://dx.doi.org/10.2139/ssrn.1517826

Luojia Hu (Contact Author)

Federal Reserve Bank of Chicago ( email )

230 South LaSalle Street
Chicago, IL 60604
United States

Bo E. Honore

Princeton University - Department of Economics ( email )

Princeton, NJ 08544-1021
United States

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