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

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, Honoré, 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, Honoré, and Hu (2007). Specifically, our generalization will allow for discretized observations of the dependent variable and for piecewise constant time–varying explanatory variables. ∗This research was supported by the National Science Foundation and the Gregory C. Chow Econometric Research Program at Princeton University. We thank seminar participants at Rice University, Université Paris 1 Panthéon–Sorbonne and the Federal Reserve Bank of Chicago as well as members of Princeton’s Microeconometric Reading Group for comments. The opinions expressed here are those of the authors and not necessarily those of the Federal Reserve Bank of Chicago or the Federal Reserve System. †Mailing Address: Department of Economics, Princeton University, Princeton, NJ 08544-1021. Email: [email protected]. ‡Mailing Address: Economic Research Department, Federal Reserve Bank of Chicago, 230 S. La Salle Street, Chicago, IL 60604. Email: [email protected].