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Maximum score estimation of preference parameters for a binary choice model under uncertainty

Author

Listed:
  • Le-Yu Chen

    (Institute for Fiscal Studies and Academia Sinica)

  • Sokbae (Simon) Lee

    (Institute for Fiscal Studies and Columbia University)

  • Myung Jae Sung

    (Institute for Fiscal Studies)

Abstract

This paper develops 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 and the preference parameters in the second stage based on Manski (1975, 1985)'s maximum score estimator using the choice data and first stage estimates. The paper establishes consistency and derives the rate of convergence of the corresponding two-stage estimator, which is of independent interest for maximum score estimation with generated regressors. The paper also provides results of some Monte Carlo experiments.

Suggested Citation

  • Le-Yu Chen & Sokbae (Simon) Lee & Myung Jae Sung, 2013. "Maximum score estimation of preference parameters for a binary choice model under uncertainty," CeMMAP working papers CWP14/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:14/13
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    More about this item

    Keywords

    discrete choice; maximum score estimation; generated regressor; preference parameters; M-estimation; cube root asymptotics;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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