Indirect estimation of semiparametric binary choice models*

Westerlund, Joakim and Hjertstrand, P 2014, Indirect estimation of semiparametric binary choice models*, Oxford bulletin of economics and statistics, vol. 76, no. 2, pp. 298-314, doi: 10.1111/obes.12000.

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Title Indirect estimation of semiparametric binary choice models*
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Hjertstrand, P
Journal name Oxford bulletin of economics and statistics
Volume number 76
Issue number 2
Start page 298
End page 314
Total pages 17
Publisher Wiley
Place of publication London, Eng.
Publication date 2014-04
ISSN 0305-9049
Keyword(s) C25
Summary 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 a semiparametric estimator for use when the distribution of the error term is unknown. However, although theoretically appealing, the estimator has been found to be difficult to implement, and therefore not very attractive from an applied point of view. The current study offers an indirect inference-based solution to this problem. The new estimator is not only simple with good small-sample properties, but also consistent and asymptotically normal.
Language eng
DOI 10.1111/obes.12000
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Wiley
Persistent URL http://hdl.handle.net/10536/DRO/DU:30072147

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