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A Study of a Semiparametric Binary Choice Model with Integrated Covariates


  • Emmanuel Guerre
  • Hyungsik Roger Moon


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.

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  • 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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    References listed on IDEAS

    1. Nerlove,Marc, 2005. "Essays in Panel Data Econometrics," Cambridge Books, Cambridge University Press, number 9780521022460, March.
    2. Lee, Myoung-jae, 2005. "Micro-Econometrics for Policy, Program and Treatment Effects," OUP Catalogue, Oxford University Press, number 9780199267699.
    3. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291.
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    Cited by:

    1. Le-Yu Chen & Sokbae Lee, 2016. "Best Subset Binary Prediction," Papers 1610.02738,, revised Nov 2017.

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