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A Study of a Semiparametric Binary Choice Model with Integrated Covariates

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  • Emmanuel Guerre
  • Hyungsik Roger Moon

Abstract

This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purpose, we find that the MSE and SMSE are at least sqrt(n)-consistent. Comparing this rate to the parametric MLE’s convergence rate, we show that when a normalization restriction is imposed on the parameter, the Park and Phillips (2000)’s parametric MLE converges at a rate of n^(3/4) and its limiting distribution is a mixed normal. Finally, we show briefy how to apply our estimation method to a nonstationary single index model.

Suggested Citation

  • Emmanuel Guerre & Hyungsik Roger Moon, 2005. "A Study of a Semiparametric Binary Choice Model with Integrated Covariates," IEPR Working Papers 05.37, Institute of Economic Policy Research (IEPR).
    • Handle: RePEc:scp:wpaper:05-37
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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. Chaohua Dong & Jiti Gao & Dag Tjostheim, 2014. "Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 7/14, Monash University, Department of Econometrics and Business Statistics.

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