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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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File Function: First version, 2005
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Paper provided by Institute of Economic Policy Research (IEPR) in its series IEPR Working Papers with number 05.37.

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Length: 17 pages
Date of creation: Oct 2005
Date of revision:
Handle: RePEc:scp:wpaper:05-37
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Web page: http://www.usc.edu/dept/LAS/economics/IEPR/
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