Nonparametric and Distribution-Free Estimation of the Binary Threshold Crossing and the Binary Choice Models

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Nonparametric and Distribution-Free Estimation of the Binary Threshold Crossing and the Binary Choice Models

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Matzkin, Rosa L

Abstract

The author shows that it is possible to identify binary threshold crossing models and binary choice models without imposing any parametric structure either on the systematic function of observable exogenous variables or on the distribution of the random term. This identification result is employed to develop a fully nonparametric maximum likelihood estimator for both the function of observable exogenous variables and the distribution of the random term. The estimator is shown to be strongly consistent and a two step procedure for its calculation is developed. The paper also includes examples of economic models that satisfy the conditions necessary to apply the results. Copyright 1992 by The Econometric Society.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 60 (1992)
Issue (Month): 2 (March)
Pages: 239-70
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Handle: RePEc:ecm:emetrp:v:60:y:1992:i:2:p:239-70

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- Robert M. de Jong & Tiemen Woutersen, 2007. "Dynamic time series binary choice," Economics Working Paper Archive 538, The Johns Hopkins University,Department of Economics. [Downloadable!]
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- Flavio Cunha & James J. Heckman & Salvador Navarro, 2007. "The Identification And Economic Content Of Ordered Choice Models With Stochastic Thresholds," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1273-1309, November. [Downloadable!] (restricted)
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Arthur Lewbel & Oliver Linton, 2003. "Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions," Boston College Working Papers in Economics 585, Boston College Department of Economics, revised 04 Sep 2006. [Downloadable!]
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Carneiro, Pedro & Hansen, Karsten T. & Heckman, James J., 2003. "Estimating Distributions of Treatment Effects with an Application to the Returns to Schooling and Measurement of the Effects of Uncertainty on College Choice," IZA Discussion Papers 767, Institute for the Study of Labor (IZA). [Downloadable!]
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Arthur Lewbel & Oliver Linton, 2003. "Nonparametric Estimation of Homothetic and Homothetically Separable Functions," STICERD - Econometrics Paper Series /2003/461, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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Pablo M Garcia, 2005. "Una Aproximación Microeconométrica a los Determinantes de la Elección del Modo de Transporte. (A Microeconometric Approach to the Determinants of Travel Mode Choice)," Urban/Regional 0504005, EconWPA. [Downloadable!]
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