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Semiparametric Estimation Of A Location Parameter In The Binary Choice Model

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  • Chen, Songnian

Abstract

This paper considers the estimation of a location parameter in the binary choice model with some weak distributional assumptions imposed on the error term in the latent regression model. Two estimators are proposed here, both of which are two-step estimators; in the first step, the slope parameters are consistently estimated by existing methods; in the second step, the location parameter is consistently estimated based on a moment condition. The estimators are shown to be consistent and asymptotically normal. A small Monte Carlo study illustrates the usefulness of the estimators. We also point out that the location and slope parameters can be estimated simultaneously.

Suggested Citation

  • Chen, Songnian, 1999. "Semiparametric Estimation Of A Location Parameter In The Binary Choice Model," Econometric Theory, Cambridge University Press, vol. 15(1), pages 79-98, February.
    • Handle: RePEc:cup:etheor:v:15:y:1999:i:01:p:79-98_15
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    Cited by:

    1. Zhang, Zhengyu & He, Xiaobo, 2012. "Estimation of a heteroscedastic binary choice model with an endogenous dummy regressor," Economics Letters, Elsevier, vol. 117(3), pages 753-757.
    2. Chen, Songnian, 2000. "Efficient estimation of binary choice models under symmetry," Journal of Econometrics, Elsevier, vol. 96(1), pages 183-199, May.
    3. Nese Yildiz, 2012. "Estimation of Binary Choice Models with Linear Index and Dummy Endogenous Variables," Koç University-TUSIAD Economic Research Forum Working Papers 1202, Koc University-TUSIAD Economic Research Forum.
    4. Chen, Songnian, 1999. "Distribution-free estimation of the random coefficient dummy endogenous variable model," Journal of Econometrics, Elsevier, vol. 91(1), pages 171-199, July.
    5. Chen, Songnian & Zhou, Yahong, 2010. "Semiparametric and nonparametric estimation of sample selection models under symmetry," Journal of Econometrics, Elsevier, vol. 157(1), pages 143-150, July.
    6. Arthur Lewbel, 2002. "Ordered Response Threshold Estimation," Boston College Working Papers in Economics 535, Boston College Department of Economics, revised 29 Oct 2003.
    7. Chen, Songnian, 2000. "Rank estimation of a location parameter in the binary choice model," Journal of Econometrics, Elsevier, vol. 98(2), pages 317-334, October.
    8. Chen, Songnian & Zhang, Hanghui, 2015. "Binary quantile regression with local polynomial smoothing," Journal of Econometrics, Elsevier, vol. 189(1), pages 24-40.

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