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Distribution-free estimation of heteroskedastic binary response models in Stata

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Author Info

  • Jason R. Blevins

    ()
    (Ohio State University)

  • Shakeeb Khan

    ()
    (Duke University)

Abstract

In this article, we consider two recently proposed semiparametric estimators for distribution-free binary response models under a conditional median restriction. We show that these estimators can be implemented in Stata by using the nl command through simple modifications to the nonlinear least-squares probit criterion function. We then introduce dfbr, a new Stata command that implements these estimators, and provide several examples of its usage. Although it is straightforward to carry out the estimation with nl, the dfbr implementation uses Mata for improved performance and robustness. Copyright 2013 by StataCorp LP.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 13 (2013)
Issue (Month): 3 (September)
Pages: 588-602

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Handle: RePEc:tsj:stataj:v:13:y:2013:i:3:p:588-602

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Related research

Keywords: dfbr; binary response; heteroskedasticity; nonlinear least squares; semiparametric estimation; sieve estimation;

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Cited by:
  1. Arduini, Tiziano & De Arcangelis, Giuseppe & Del Bello, Carlo Leone, 2011. "Currency Crises During the Great Recession: Is This Time Different?," MPRA Paper 36528, University Library of Munich, Germany.
  2. Tiziano Arduini & Giuseppe De Arcangelis & Carlo L. Del Bello, 2012. "Balance-of-Payments Crises During the Great Recession: Is This Time Different?," Review of International Economics, Wiley Blackwell, vol. 20(3), pages 517-534, 08.
  3. Satimanon, Monthien & Lupi, Frank, 2010. "Comparison of Approaches to Estimating Demand for Payment for Environmental Services," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61288, Agricultural and Applied Economics Association.

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