SNP and SML estimation of univariate and bivariate binary-choice models
We discuss the semi-nonparametric approach of Gallant and Nychka (1987, Econometrica 55: 363-390), the semiparametric maximum likelihood ap- proach of Klein and Spady (1993, Econometrica 61: 387-421), and a set of new Stata commands for semiparametric estimation of three binary-choice models. The first is a univariate model, while the second and the third are bivariate models without and with sample selection, respectively. The proposed estimators are root-n consistent and asymptotically normal for the model parameters of interest under weak assumptions on the distribution of the underlying error terms. Our Monte Carlo simulations suggest that the efficiency losses of the semi-nonparametric and the semiparametric maximum likelihood estimators relative to a maximum like- lihood correctly specified estimator of a parametric probit are rather small. On the other hand, a comparison of these estimators in non-Gaussian designs suggests that semi-nonparametric and semiparametric maximum likelihood estimators sub- stantially dominate the parametric probit maximum likelihood estimator. Copyright 2008 by StataCorp LP.
Volume (Year): 8 (2008)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: http://www.stata-journal.com/|
|Order Information:||Web: http://www.stata-journal.com/subscription.html|
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.:
- Meng, Chun-Lo & Schmidt, Peter, 1985. "On the Cost of Partial Observability in the Bivariate Probit Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(1), pages 71-85, February.
- Mark B. Stewart, 2004.
"Semi-nonparametric estimation of extended ordered probit models,"
StataCorp LP, vol. 4(1), pages 27-39, March.
- Mark Stewart, 2002. "Semi-nonparametric estimation of extended ordered probit models," United Kingdom Stata Users' Group Meetings 2003 04, Stata Users Group.
- Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, February.
- Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521586115, February.
- Gabler, Siegfried & Laisney, Francois & Lechner, Michael, 1993. "Seminonparametric Estimation of Binary-Choice Models with an Application to Labor-Force Participation," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 61-80, January.
- Lee, Lung-fei, 1995. "Semiparametric maximum likelihood estimation of polychotomous and sequential choice models," Journal of Econometrics, Elsevier, vol. 65(2), pages 381-428, February.
- Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-390, March.
- Giuseppe De Luca & Franco Peracchi, 2007. "A sample selection model for unit and item nonresponse in cross-sectional surveys," CEIS Research Paper 95, Tor Vergata University, CEIS.
- Cosslett, Stephen R, 1983. "Distribution-Free Maximum Likelihood Estimator of the Binary Choice Model," Econometrica, Econometric Society, vol. 51(3), pages 765-782, May.
- Chamberlain, Gary, 1986. "Asymptotic efficiency in semi-parametric models with censoring," Journal of Econometrics, Elsevier, vol. 32(2), pages 189-218, July.
- Gerfin, Michael, 1996. "Parametric and Semi-parametric Estimation of the Binary Response Model of Labor Market Participation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 321-339, May-June.
- Michael Gerfin, 1993. "Parametric and Semiparametric Estimation of the Binary Response Model of Labor Market Participation," Diskussionsschriften dp9315, Universitaet Bern, Departement Volkswirtschaft.
- 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.
- 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.
- Klein, R.W. & Spady, R.H., 1991. "An Efficient Semiparametric Estimator for Binary Response Models," Papers 70, Bell Communications - Economic Research Group.
- Melenberg, B. & van Soest, A.H.O., 1996. "Measuring the costs of children : Parametric and semiparametric estimators," Other publications TiSEM 1227b8b2-0575-4b5d-9bac-7, Tilburg University, School of Economics and Management.
- Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
- 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:8:y:2008:i:2:p:190-220. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)or (Lisa Gilmore)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.