Entropy-Based Estimation And Inference In Binary Response Models Under Endogeneity
This paper considers estimation and inference for the binary response model in the case where endogenous variables are included as arguments of the unknown link function. Semiparametric estimators are proposed that avoid the parametric assumptions underlying the likelihood approach as well as the loss of precision when using nonparametric estimation. Suggestions are made for how the utility maximization decision model can be altered to permit attributes to vary across alternatives.
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- Mittelhammer, Ron C. & Judge, George G., 2005. "Combining estimators to improve structural model estimation and inference under quadratic loss," Journal of Econometrics, Elsevier, vol. 128(1), pages 1-29, September.
- Klein, Roger W & Spady, Richard H, 1993.
"An Efficient Semiparametric Estimator for Binary Response Models,"
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.
- 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.
- Judge G.G. & Mittelhammer R.C., 2004. "A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 479-487, January.
- Judge, George G. & Mittelhammer, Ron C, 2003. "A Semi-Parametric Basis for Combining Estimation Problems Under Quadratic Loss," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt8z25j0w3, Department of Agricultural & Resource Economics, UC Berkeley.
- Hong, Han & Tamer, Elie, 2003. "Endogenous binary choice model with median restrictions," Economics Letters, Elsevier, vol. 80(2), pages 219-225, August.
- Dagenais, Marcel G., 1999. "Inconsistency of a proposed nonlinear instrumental variables estimator for probit and logit models with endogenous regressors," Economics Letters, Elsevier, vol. 63(1), pages 19-21, April.
- Newey, Whitney K., 1987. "Efficient estimation of limited dependent variable models with endogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 36(3), pages 231-250, November.
- Ichimura, H., 1991. "Semiparametric Least Squares (sls) and Weighted SLS Estimation of Single- Index Models," Papers 264, Minnesota - Center for Economic Research.
- Newey, Whitney K., 1986. "Linear instrumental variable estimation of limited dependent variable models with endogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 32(1), pages 127-141, June. Full references (including those not matched with items on IDEAS)
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