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SNP and SML estimation of univariate and bivariate binary-choice models

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  • Giuseppe De Luca

    ()
    (University of Rome "Tor Vergata")

Abstract

We discuss the semi-nonparametric approach of Gallant and Nychka (1987, Econometrica 55: 363-390), the semiparametric maximum likelihood ap- proach of Klein and Spady (1993, Econometrica 61: 387-421), and a set of new Stata commands for semiparametric estimation of three binary-choice models. The first is a univariate model, while the second and the third are bivariate models without and with sample selection, respectively. The proposed estimators are root-n consistent and asymptotically normal for the model parameters of interest under weak assumptions on the distribution of the underlying error terms. Our Monte Carlo simulations suggest that the efficiency losses of the semi-nonparametric and the semiparametric maximum likelihood estimators relative to a maximum like- lihood correctly specified estimator of a parametric probit are rather small. On the other hand, a comparison of these estimators in non-Gaussian designs suggests that semi-nonparametric and semiparametric maximum likelihood estimators sub- stantially dominate the parametric probit maximum likelihood estimator. Copyright 2008 by StataCorp LP.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 8 (2008)
Issue (Month): 2 (June)
Pages: 190-220

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Handle: RePEc:tsj:stataj:v:8:y:2008:i:2:p:190-220

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Related research

Keywords: snp; snp2; snp2s; sml; sml2s; binary-choice models; semi- nonparametric approach; SNP estimation; semiparametric maximum likelihood; SML estimation; Monte Carlo simulation;

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Cited by:
  1. Miranda, Alfonso & Zhu, Yu, 2013. "The Causal Effect of Deficiency at English on Female Immigrants' Labor Market Outcomes in the UK," IZA Discussion Papers 7841, Institute for the Study of Labor (IZA).
  2. Luciana Méndez Errico, 2013. "The Impacts of Social Networks on Immigrants’ Employment Prospects: The Spanish Case 1997-2007," Working Papers wpdea1301, Department of Applied Economics at Universitat Autonoma of Barcelona.
  3. Giuseppe De Luca & Franco Peracchi, 2012. "Estimating Engel curves under unit and item nonresponse," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(7), pages 1076-1099, November.
  4. Gregory Connor & Thomas Flavin, 2013. "Irish Mortgage Default Optionality," Economics, Finance and Accounting Department Working Paper Series n243-13.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  5. A. Sharma; & L. Siciliani; & A. Harris ;, 2011. "Waiting times and socioeconomic status: does sample selection matter?," Health, Econometrics and Data Group (HEDG) Working Papers 11/22, HEDG, c/o Department of Economics, University of York.
  6. Samantha Leorato & Franco Peracchi & Andrei V. Tanase, 2010. "Asymptotically Efficient Estimation of the Conditional Expected Shortfall," EIEF Working Papers Series 1013, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2010.
  7. Bakucs, Lajos Zoltan & Falkowski, Jan & Ferto, Imre, 2012. "What causes asymmetric price transmission in agro-food sector? Meta-analysis perspective," 86th Annual Conference, April 16-18, 2012, Warwick University, Coventry, UK 134765, Agricultural Economics Society.
  8. Giuseppe De Luca & Valeria Perotti, 2010. "Estimation of ordered response models with sample selection," CEIS Research Paper 168, Tor Vergata University, CEIS, revised 03 Jun 2010.
  9. Claudia PIGINI, 2012. "Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model," Working Papers 377, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  10. Pinka Chatterji & Heesoo Joo & Kajal Lahiri, 2012. "Examining the Education Gradient in Chronic Illness," CESifo Working Paper Series 3892, CESifo Group Munich.
  11. Leombruni, Roberto & Razzolini, Tiziano & Serti, Francesco, 2013. "The pecuniary and non-pecuniary costs of job displacement—The risky job of being back to work," European Economic Review, Elsevier, vol. 61(C), pages 205-216.
  12. Andreas Koch & Jochen Späth & Harald Strotmann, 2013. "The role of employees for post-entry firm growth," Small Business Economics, Springer, vol. 41(3), pages 733-755, October.
  13. Matthias Weitzel & Wan-Hsin Liu & Andrea Vaona, 2013. "Determinants of Technology Transfer through CDM: the Case of China," Kiel Working Papers 1889, Kiel Institute for the World Economy.

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