An Efficient Semiparametric Estimator for Binary Response Models
AbstractThis paper proposes an estimator for discrete choice models that makes no assumption concerning the functional form of th e choice probability function where this function can be characterized by an index. The estimator is shown to be consistent, asymptotically normally distributed, and to achieve the semiparametric efficiency bound. Monte Carlo evidence indicates that there may be only modest efficiency losses relative to maximum likelihood estimation when the distribution of the disturbances is known and that the small-sample behavior of the estimator in other cases is good. Copyright 1993 by The Econometric Society.
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Bibliographic InfoPaper provided by Bell Communications - Economic Research Group in its series Papers with number 70.
Length: 52 pages
Date of creation: 1991
Date of revision:
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Postal: Bell Communications Research; Economic Research Group, 445 South street Morristown, NJ 07962-1910, USA
evaluation ; economic models;
Other versions of this item:
- 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.
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