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Semiparametric Estimation of Location and Other Discrete Choice Moments

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  • Lewbel, Arthur

Abstract

Latent variable discrete choice model estimation and interpretation depend on the density function of the latent variable's unobserved random component. This paper provides a simple semiparametric estimator of the moments of this density. The results can be used as starting values for parametric estimators, to estimate the appropriate location and scaling for semiparametric estimators, for specification testing including tests of latent error skewness and kurtosis, and to estimate coefficients of discrete explanatory variables in the model.

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  • Lewbel, Arthur, 1997. "Semiparametric Estimation of Location and Other Discrete Choice Moments," Econometric Theory, Cambridge University Press, vol. 13(1), pages 32-51, February.
    • Handle: RePEc:cup:etheor:v:13:y:1997:i:01:p:32-51_00
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    Cited by:

    1. Luis E. Candelaria, 2020. "A Semiparametric Network Formation Model with Unobserved Linear Heterogeneity," Papers 2007.05403, arXiv.org, revised Aug 2020.
    2. Candelaria, Luis E., 2020. "A Semiparametric Network Formation Model with Unobserved Linear Heterogeneity," The Warwick Economics Research Paper Series (TWERPS) 1279, University of Warwick, Department of Economics.
    3. Chen, Songnian, 2000. "Efficient estimation of binary choice models under symmetry," Journal of Econometrics, Elsevier, vol. 96(1), pages 183-199, May.
    4. Fahs, Rafic & Cardell, N. Scott & Mittelhammer, Ronald C., 2001. "Semiparametric Estimation and Inference in Multinomial Choice Models," 2001 Annual meeting, August 5-8, Chicago, IL 20742, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Stefan Boes, 2013. "Nonparametric analysis of treatment effects in ordered response models," Empirical Economics, Springer, vol. 44(1), pages 81-109, February.
    6. Chuan Goh, 2009. "Nonstandard Estimation of Inverse Conditional Density-Weighted Expectations," Working Papers tecipa-374, University of Toronto, Department of Economics.
    7. Chen, Songnian, 1999. "Distribution-free estimation of the random coefficient dummy endogenous variable model," Journal of Econometrics, Elsevier, vol. 91(1), pages 171-199, July.
    8. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
    9. Shakeeb Khan & Denis Nekipelov, 2013. "On Uniform Inference in Nonlinear Models with Endogeneity," Working Papers 13-16, Duke University, Department of Economics.
    10. Yingying Dong & Arthur Lewbel, 2015. "A Simple Estimator for Binary Choice Models with Endogenous Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 82-105, February.
    11. Bas Donkers & Marcia M Schafgans, 2005. "A method of moments estimator for semiparametric index models," STICERD - Econometrics Paper Series 493, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    12. Arthur Lewbel, 2012. "An Overview of the Special Regressor Method," Boston College Working Papers in Economics 810, Boston College Department of Economics.
    13. Lewbel, Arthur & McFadden, Daniel & Linton, Oliver, 2011. "Estimating features of a distribution from binomial data," Journal of Econometrics, Elsevier, vol. 162(2), pages 170-188, June.
    14. Arthur Lewbel, 2002. "Ordered Response Threshold Estimation," Boston College Working Papers in Economics 535, Boston College Department of Economics, revised 29 Oct 2003.
    15. Diarra, Lacina & Dessy, Sylvain, 2018. "Land Tenure Security and Non-Agricultural Sector Employment: Household-level Evidence from Uganda," 2018 Annual Meeting, August 5-7, Washington, D.C. 274240, Agricultural and Applied Economics Association.
    16. John F. Geweke & Michael P. Keane, 1997. "Mixture of normals probit models," Staff Report 237, Federal Reserve Bank of Minneapolis.
    17. Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(4), pages 769-803, August.
    18. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July.
    19. Aradillas-Lopez, Andres, 2010. "Semiparametric estimation of a simultaneous game with incomplete information," Journal of Econometrics, Elsevier, vol. 157(2), pages 409-431, August.
    20. Arthur Lewbel & Linton, Oliver Linton, 1998. "Nonparametric Censored Regression," Cowles Foundation Discussion Papers 1186, Cowles Foundation for Research in Economics, Yale University.
    21. Arthur Lewbel, 2019. "The Identification Zoo: Meanings of Identification in Econometrics," Journal of Economic Literature, American Economic Association, vol. 57(4), pages 835-903, December.
    22. Arthur Lewbel & Susanne M. Schennach, 2003. "A Simple Ordered Data Estimator For Inverse Density Weighted Functions," Boston College Working Papers in Economics 557, Boston College Department of Economics, revised 01 May 2005.
    23. Chen, Songnian, 2000. "Rank estimation of a location parameter in the binary choice model," Journal of Econometrics, Elsevier, vol. 98(2), pages 317-334, October.
    24. Lewbel, Arthur & Schennach, Susanne M., 2007. "A simple ordered data estimator for inverse density weighted expectations," Journal of Econometrics, Elsevier, vol. 136(1), pages 189-211, January.

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