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Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables

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Author Info
Arthur Lewbel () (Boston College)

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Abstract

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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File URL: http://fmwww.bc.edu/EC-P/WP454.pdf
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Publisher Info
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 1999
Date of revision:
Publication status: published, Journal of Econometrics, 97:1, 145-177, 2000.
Handle: RePEc:boc:bocoec:454

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Related research
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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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Horowitz, Joel & Hardle, Wolfgang, 1994. "Direct Semiparametric Estimation of Single-Index Models With Discrete Covariates," Working Papers 94-22, University of Iowa, Department of Economics.
    Other versions:
  2. Bo E. Honore & Arthur Lewbel, 2002. "Semiparametric Binary Choice Panel Data Models Without Strictly Exogeneous Regressors," Econometrica, Econometric Society, vol. 70(5), pages 2053-2063, September. [Downloadable!] (restricted)
    Other versions:
  3. Whitney K. Newey and Paul A. Ruud., 1994. "Density Weighted Linear Least Squares," Economics Working Papers 94-228, University of California at Berkeley.
  4. Haerdle,W. & Hart,J.D. & Marron,J.S. & Tsybakov,A.B., 1989. "Bandwidth choice for average derivative estimation," Discussion Paper Serie A 200, University of Bonn, Germany.
    Other versions:
  5. Manski, Charles F., 1985. "Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 313-333, March. [Downloadable!] (restricted)
  6. Lewbel, Arthur, 1997. "Semiparametric Estimation of Location and Other Discrete Choice Moments," Econometric Theory, Cambridge University Press, vol. 13(01), pages 32-51, February. [Downloadable!]
  7. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November. [Downloadable!] (restricted)
  8. Newey, Whitney K, 1994. "The Asymptotic Variance of Semiparametric Estimators," Econometrica, Econometric Society, vol. 62(6), pages 1349-82, November. [Downloadable!] (restricted)
  9. Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, vol. 75(2), pages 291-316, December. [Downloadable!] (restricted)
  10. repec:cup:etheor:v:13:y:1997:i:1:p:32-51 is not listed on IDEAS
  11. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March. [Downloadable!] (restricted)
  12. Horowitz, Joel L., 1993. "Semiparametric estimation of a work-trip mode choice model," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 49-70, July. [Downloadable!] (restricted)
  13. Aït-Sahalia, Yacine. & Bickel, Peter J. & Stoker, Thomas M., 1994. "Goodness-of-fit tests for regression using kernel methods," Working papers 3747-94., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  14. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August. [Downloadable!] (restricted)
  15. Horowitz, J.L., 1998. "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Working Papers 98-05, University of Iowa, Department of Economics.
  16. Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March. [Downloadable!] (restricted)
  17. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July. [Downloadable!] (restricted)
  18. McFadden, Daniel L., 1984. "Econometric analysis of qualitative response models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 24, pages 1395-1457 Elsevier. [Downloadable!] (restricted)
  19. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May. [Downloadable!] (restricted)
  20. Arthur Lewbel, 1998. "Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors," Econometrica, Econometric Society, vol. 66(1), pages 105-122, January.
  21. Ichimura, H., 1991. "Semiparametric Least Squares (sls) and Weighted SLS Estimation of Single- Index Models," Papers 264, Minnesota - Center for Economic Research.
  22. Arthur Lewbel & Oliver Linton & Daniel McFadden, 1997. "Estimating Features of a Distribution from Binomial Data," Boston College Working Papers in Economics 442, Boston College Department of Economics, revised 04 Sep 2006. [Downloadable!]
    Other versions:
  23. Andrews, Donald W.K., 1995. "Nonparametric Kernel Estimation for Semiparametric Models," Econometric Theory, Cambridge University Press, vol. 11(03), pages 560-586, June. [Downloadable!]
  24. J. Horowitz, . "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Sonderforschungsbereich 373 1998-83, Humboldt Universitaet Berlin.
    Other versions:
  25. Ruud, Paul A, 1983. "Sufficient Conditions for the Consistency of Maximum Likelihood Estimation Despite Misspecifications of Distribution in Multinomial Discrete Choice Models," Econometrica, Econometric Society, vol. 51(1), pages 225-28, January. [Downloadable!] (restricted)
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