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Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models

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  • Chen, Songnian
  • Khan, Shakeeb

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  • Chen, Songnian & Khan, Shakeeb, 2003. "Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models," Journal of Econometrics, Elsevier, vol. 117(2), pages 245-278, December.
    • Handle: RePEc:eee:econom:v:117:y:2003:i:2:p:245-278
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    1. Arthur Lewbel & Oliver Linton, 2002. "Nonparametric Censored and Truncated Regression," Econometrica, Econometric Society, vol. 70(2), pages 765-779, March.
    2. 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.
    3. Moshe Buchinsky & Jinyong Hahn, 1998. "An Alternative Estimator for the Censored Quantile Regression Model," Econometrica, Econometric Society, vol. 66(3), pages 653-672, May.
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    5. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    6. 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.
    7. Chen, Songnian & Khan, Shakeeb, 2000. "Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 98(2), pages 283-316, October.
    8. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-465, May.
    9. Donald, Stephen G., 1995. "Two-step estimation of heteroskedastic sample selection models," Journal of Econometrics, Elsevier, vol. 65(2), pages 347-380, February.
    10. Chamberlain, Gary, 1986. "Asymptotic efficiency in semi-parametric models with censoring," Journal of Econometrics, Elsevier, vol. 32(2), pages 189-218, July.
    11. Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 3-29, July.
    12. Khan, Shakeeb & Powell, James L., 2001. "Two-step estimation of semiparametric censored regression models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 73-110, July.
    13. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    14. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
    15. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    16. Han, Aaron K., 1987. "Non-parametric analysis of a generalized regression model : The maximum rank correlation estimator," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 303-316, July.
    17. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
    18. 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.
    19. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    2. T. Arduini, 2016. "Distribution Free Estimation of Spatial Autoregressive Binary Choice Panel Data Models," Working Papers wp1052, Dipartimento Scienze Economiche, Universita' di Bologna.
    3. Roger Klein & Francis Vella, 2009. "A semiparametric model for binary response and continuous outcomes under index heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 735-762.
    4. Dimitrakopoulos, Stefanos & Dey, Dipak K., 2017. "Discrete-response state space models with conditional heteroscedasticity: An application to forecasting the federal funds rate target," Economics Letters, Elsevier, vol. 154(C), pages 20-23.
    5. 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.
    6. Chen, Le-Yu & Oparina, Ekaterina & Powdthavee, Nattavudh & Srisuma, Sorawoot, 2019. "Have Econometric Analyses of Happiness Data Been Futile? A Simple Truth about Happiness Scales," IZA Discussion Papers 12152, Institute of Labor Economics (IZA).
    7. Bo E. Honoré & Aureo de Paula, 2009. ""Interdependent Durations" Third Version," PIER Working Paper Archive 09-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Feb 2008.
    8. Henry, Miguel & Mittelhammer, Ron & Loomis, John, 2018. "An Information-Theoretic Approach to Estimating Willingness To Pay for River Recreation Site Attributes," MPRA Paper 89842, University Library of Munich, Germany.
    9. Chen, Songnian & Khan, Shakeeb & Tang, Xun, 2016. "Informational content of special regressors in heteroskedastic binary response models," Journal of Econometrics, Elsevier, vol. 193(1), pages 162-182.
    10. Bo E. Honore & Aureo de Paula, 2007. "Interdependent Durations, Second Version," PIER Working Paper Archive 08-044, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Nov 2008.
    11. Chen, Le-Yu & Oparina, Ekaterina & Powdthavee, Nattavudh & Srisuma, Sorawoot, 2022. "Robust Ranking of Happiness Outcomes: A Median Regression Perspective," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 672-686.
    12. Jikhan Jeong, 2020. "Identifying Consumer Preferences from User- and Crowd-Generated Digital Footprints on Amazon.com by Leveraging Machine Learning and Natural Language Processing," 2020 Papers pje208, Job Market Papers.
    13. Tatiana Komarova & William Matcham, 2022. "Multivariate ordered discrete response models," Papers 2205.05779, arXiv.org, revised Mar 2023.
    14. Khan, Shakeeb, 2013. "Distribution free estimation of heteroskedastic binary response models using Probit/Logit criterion functions," Journal of Econometrics, Elsevier, vol. 172(1), pages 168-182.
    15. Bo E. Honor & Áureo De Paula, 2010. "Interdependent Durations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(3), pages 1138-1163.
    16. Henry-Osorio, Miguel & Mittelhammer, Ronald C., 2012. "An Information-Theoretic Approach to Modeling Binary Choices: Estimating Willingness to Pay for Recreation Site Attributes," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 123432, Agricultural and Applied Economics Association.
    17. Xi Wang & Songnian Chen, 2022. "Partial Identification and Estimation of Semiparametric Ordered Response Models with Interval Regressor Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(4), pages 830-849, August.
    18. Guo, Jing & Wang, Lei & Zhang, Zhengyu, 2022. "Identification and estimation of a heteroskedastic censored regression model with random coefficient dummy endogenous regressors," Economic Modelling, Elsevier, vol. 110(C).

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