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Maximum score estimation with nonparametrically generated regressors

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  • Le‐Yu Chen
  • Sokbae Lee
  • Myung Jae Sung

Abstract

The estimation problem in this paper is motivated by the maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages. We estimate conditional expectations nonparametrically in the first stage. Then, in the second stage, we estimate the preference parameters based on the maximum score estimator of Manski, using the choice data and first‐stage estimates. This setting can be extended to maximum score estimation with nonparametrically generated regressors. In this paper, we establish consistency and derive the rate of convergence of the two‐stage maximum score estimator. Moreover, we also provide sufficient conditions under which the two‐stage estimator is asymptotically equivalent in distribution to the corresponding single‐stage estimator that assumes the first‐stage input is known. We also present some Monte Carlo simulation results for the finite‐sample behaviour of the two‐stage estimator.

Suggested Citation

  • Le‐Yu Chen & Sokbae Lee & Myung Jae Sung, 2014. "Maximum score estimation with nonparametrically generated regressors," Econometrics Journal, Royal Economic Society, vol. 17(3), pages 271-300, October.
    • Handle: RePEc:wly:emjrnl:v:17:y:2014:i:3:p:271-300
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    File URL: http://hdl.handle.net/10.1111/ectj.12034
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    Cited by:

    1. Chen, Le-Yu & Lee, Sokbae, 2018. "Best subset binary prediction," Journal of Econometrics, Elsevier, vol. 206(1), pages 39-56.
    2. Yoosoon Chang & Joon Y. Park & Guo Yan, 2026. "Using SVM to Estimate and Predict Binary Choice Models," Papers 2601.22659, arXiv.org.
    3. Botosaru, Irene, 2020. "Nonparametric analysis of a duration model with stochastic unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 217(1), pages 112-139.
    4. Chen, Songnian & Zhang, Hanghui, 2015. "Binary quantile regression with local polynomial smoothing," Journal of Econometrics, Elsevier, vol. 189(1), pages 24-40.
    5. Liu, Ruixuan & Yu, Zhengfei, 2022. "Sample selection models with monotone control functions," Journal of Econometrics, Elsevier, vol. 226(2), pages 321-342.

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