Indirect Estimation of Semiparametric Binary Choice Models
(2014) In Oxford Bulletin of Economics and Statistics 76(2). p.299-314- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4588872
- author
- Westerlund, Joakim LU and Hjertstrand, Per LU
- publishing date
- 2014
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Indirect Inference, Binary Choice Models
- in
- Oxford Bulletin of Economics and Statistics
- volume
- 76
- issue
- 2
- pages
- 299 - 314
- publisher
- Wiley-Blackwell
- external identifiers
-
- wos:000332346600008
- scopus:84896701997
- ISSN
- 1468-0084
- DOI
- 10.1111/obes.12000
- language
- English
- LU publication?
- no
- id
- 15b1caf2-5e2f-4dc9-a178-470db5cbb345 (old id 4588872)
- alternative location
- http://onlinelibrary.wiley.com/doi/10.1111/obes.12000/abstract
- date added to LUP
- 2016-04-01 10:24:21
- date last changed
- 2022-01-25 22:52:32
@article{15b1caf2-5e2f-4dc9-a178-470db5cbb345, abstract = {{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.}}, author = {{Westerlund, Joakim and Hjertstrand, Per}}, issn = {{1468-0084}}, keywords = {{Indirect Inference; Binary Choice Models}}, language = {{eng}}, number = {{2}}, pages = {{299--314}}, publisher = {{Wiley-Blackwell}}, series = {{Oxford Bulletin of Economics and Statistics}}, title = {{Indirect Estimation of Semiparametric Binary Choice Models}}, url = {{http://dx.doi.org/10.1111/obes.12000}}, doi = {{10.1111/obes.12000}}, volume = {{76}}, year = {{2014}}, }