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A Simplified Klein–Spady Estimator for Binary Choice Models

Author

Listed:
  • Hjertstrand, Per

    (Research Institute of Industrial Economics (IFN))

  • Proctor, Andrew

    (Department of Economics, Ludwig Maximilian University of Munich)

  • Westerlund, Joakim

    (Department of Economics, Lund University, Sweden, and)

Abstract

One of the most cited studies within the field of binary choice models is that of Klein and Spady (1993), in which the authors propose an estimator that is not only non-parametric with respect to the choice density but also asymptotically efficient. However, while theoretically appealing, the estimator has been found to be very difficult to implement with poor small-sample properties. This paper proposes a simplified version of the Klein–Spady estimator, which is shown to be easy to implement, numerically relatively more stable, and with excellent small-sample and asymptotic properties.

Suggested Citation

  • Hjertstrand, Per & Proctor, Andrew & Westerlund, Joakim, 2025. "A Simplified Klein–Spady Estimator for Binary Choice Models," Working Paper Series 1535, Research Institute of Industrial Economics.
    • Handle: RePEc:hhs:iuiwop:1535
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    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
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making

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