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Indirect Estimation of Semiparametric Binary Choice Models

Westerlund, Joakim LU and Hjertstrand, Per LU (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.
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author
publishing date
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
2014-08-19 10:26:44
date last changed
2017-01-01 03:33:24
@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},
  keyword      = {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},
  volume       = {76},
  year         = {2014},
}