Non-parametric analysis of a generalized regression model: the maximum rank correlation estimator

The paper considers estimation of a model.b; = D F ( x//3,, u,), where the composite transforma-tion D. F is only specified that D: W-- * R is non-degenerate monotonic and F: R * + R is strictly monotonic in each of its variables. The paper thus generalizes standard data analysis which assumes that the functional form of II. F is known and additive. The estimator which it proposes is the maximum rank correlation estimator which is non-parametric in the functional form of D. F and non-parametric in the distribution of the error terms, a,. The estimator is shown to be strongly consistent for the parameters /?a up to a scale coefficient. 1