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Indirect estimation of semiparametric binary choice models*

journal contribution
posted on 2014-04-01, 00:00 authored by Joakim WesterlundJoakim Westerlund, P Hjertstrand
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.

History

Journal

Oxford bulletin of economics and statistics

Volume

76

Issue

2

Pagination

298 - 314

Publisher

Wiley

Location

London, Eng.

ISSN

0305-9049

Language

eng

Publication classification

C Journal article; C1 Refereed article in a scholarly journal

Copyright notice

2014, Wiley