skip to content

Faculty of Economics

Journal Cover

Jacho-Chavez, D., Lewbel, A. and Linton, O.

Identification and nonparametric estimation of a transformed additively separable model

Journal of Econometrics

Vol. 156 no. 2 pp. 392-407 (2010)

Abstract: Let r(x,z) be a function that, along with its derivatives, can be consistently estimated nonparametrically. This paper discusses the identification and consistent estimation of the unknown functions H, M, G and F, where r(x,z)=H[M(x,z)], M(x,z)=G(x)+F(z), and H is strictly monotonic. An estimation algorithm is proposed for each of the model’s unknown components when r(x,z) represents a conditional mean function. The resulting estimators use marginal integration to separate the components G and F. Our estimators are shown to have a limiting Normal distribution with a faster rate of convergence than unrestricted nonparametric alternatives. Their small sample performance is studied in a Monte Carlo experiment. We apply our results to estimate generalized homothetic production functions for four industries in the Chinese economy.

JEL Codes: C13, C14, C21, D24

Author links: Oliver Linton  

Publisher's Link:

Papers and Publications

Recent Publications

Galeotti, A., Golub, B. and Goyal, S. Targeting Interventions in Networks Econometrica [2020]

Carvalho, V. M. and Grassi, B. Large Firm Dynamics and the Business Cycle American Economic Review [2019]

Cavalcanti, T. and Santos, M. (Mis)Allocation Effects of an Overpaid Public Sector Journal of the European Economic Association [2020]

Bergin, P. R. and Corsetti, G. Beyond Competitive Devaluations: The Monetary Dimensions of Comparative Advantage American Economic Journal: Macroeconomics [2020]