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Ordered Response Threshold Estimation

Author

Listed:
  • Arthur Lewbel

    (Boston College)

Abstract

This paper shows that many estimators of thresholds in ordered response models exist, because binary choice location estimators can be converted into threshold estimators. A new threshold estimator is proposed that is consistent under more general conditions. An extension to random thresholds is provided.

Suggested Citation

  • Arthur Lewbel, 2002. "Ordered Response Threshold Estimation," Boston College Working Papers in Economics 535, Boston College Department of Economics, revised 29 Oct 2003.
    • Handle: RePEc:boc:bocoec:535
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    References listed on IDEAS

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    1. Stephen V. Cameron & James J. Heckman, 1998. "Life Cycle Schooling and Dynamic Selection Bias: Models and Evidence for Five Cohorts of American Males," Journal of Political Economy, University of Chicago Press, vol. 106(2), pages 262-333, April.
    2. 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.
    3. repec:cup:etheor:v:13:y:1997:i:1:p:32-51 is not listed on IDEAS
    4. Pedro Carneiro & Karsten T. Hansen & James J. Heckman, 2003. "Estimating Distributions of Treatment Effects with an Application to the Returns to Schooling and Measurement of the Effects of Uncertainty on College," NBER Working Papers 9546, National Bureau of Economic Research, Inc.
    5. Stephen V. Cameron & James J. Heckman, 1998. "Life Cycle Schooling and Dynamic Selection Bias: Models and Evidence for Five Cohorts," NBER Working Papers 6385, National Bureau of Economic Research, Inc.
    6. Carneiro, Pedro & Hansen, Karsten T. & Heckman, James J., 2003. "Estimating Distributions of Treatment Effects with an Application to the Returns to Schooling and Measurement of the Effects of Uncertainty on College Choice," IZA Discussion Papers 767, Institute of Labor Economics (IZA).
    7. 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.
    8. Lewbel, Arthur, 1997. "Semiparametric Estimation of Location and Other Discrete Choice Moments," Econometric Theory, Cambridge University Press, vol. 13(1), pages 32-51, February.
    9. Thierry Magnac & Eric Maurin, 2003. "Identification et Information in Monotone Binary Models," Working Papers 2003-07, Center for Research in Economics and Statistics.
    10. 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.
    11. Newey, Whitney K. & McFadden, Daniel, 1986. "Large sample estimation and hypothesis testing," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245, Elsevier.
    12. 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.
    13. Chen, Songnian, 1999. "Semiparametric Estimation Of A Location Parameter In The Binary Choice Model," Econometric Theory, Cambridge University Press, vol. 15(1), pages 79-98, February.
    14. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
    15. Heckman, James J. & Lalonde, Robert J. & Smith, Jeffrey A., 1999. "The economics and econometrics of active labor market programs," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 3, chapter 31, pages 1865-2097, Elsevier.
    16. Roger W. Klein & Robert P. Sherman, 2002. "Shift Restrictions and Semiparametric Estimation in Ordered Response Models," Econometrica, Econometric Society, vol. 70(2), pages 663-691, March.
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    Cited by:

    1. 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.
    2. 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.
    3. 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.

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    More about this item

    Keywords

    ordered response; ordered choice; semiparaetric estimation; threshold points;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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