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Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables

Author

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  • Arthur Lewbel

    (Boston College)

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.

Suggested Citation

  • Arthur Lewbel, 1999. "Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables," Boston College Working Papers in Economics 454, Boston College Department of Economics.
    • Handle: RePEc:boc:bocoec:454
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    semiparametric; discrete choice; qualitative response; heteroskedasticity; binomial response; multinomial response; measurement error; instrumental variables; binary choice; ordered choice; latent variable models;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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