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Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables Author info | Abstract | Publisher info | Download info | Related research | Statistics Arthur Lewbel () (Boston College)
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This paper provides estimators of discrete choice models, including binary, ordered, and multinomial response (choice) models. The estimators closely resemble ordinary and two stage least squares. The distribution of the model's latent variable error is unknown and may be related to the regressors, e.g., the model could have errors that are heteroscedastic or correlated with regressors. The estimator does not require numerical searches, even for multinomial choice. For ordered and binary choice models the estimator is root N consistent and asymptotically normal. A consistent estimator of the conditional error distribution is also provided.
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Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number
454.
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Length: 33 pages
Date of creation: 15 Aug 1999Date of revision:
Publication status: published, Journal of Econometrics, 97:1, 145-177, 2000.Handle: RePEc:boc:bocoec:454Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).
Keywords: semiparametric discrete choice qualitative response heteroskedasticity binomial response multinomial response measurement error instrumental variables binary choice ordered choice latent variable models Other versions of this item:
Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
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