IDEAS home Printed from https://ideas.repec.org/p/cpm/cepmap/8720.html
   My bibliography  Save this paper

Consistent m-estimators in a semi-parametric model

Author

Listed:
  • Gourieroux Christian
  • Monfort Alain
  • Renault Eric

Abstract

No abstract is available for this item.

Suggested Citation

  • Gourieroux Christian & Monfort Alain & Renault Eric, 1987. "Consistent m-estimators in a semi-parametric model," CEPREMAP Working Papers (Couverture Orange) 8720, CEPREMAP.
    • Handle: RePEc:cpm:cepmap:8720
    as

    Download full text from publisher

    File URL: http://www.cepremap.fr/depot/couv_orange/co8720.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
    2. Cosslett, Stephen R, 1981. "Maximum Likelihood Estimator for Choice-Based Samples," Econometrica, Econometric Society, vol. 49(5), pages 1289-1316, September.
    3. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    4. Manski, Charles F., 1985. "Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 313-333, March.
    5. Missiakoulis, Spyros, 1983. "Sargan densities which one?," Journal of Econometrics, Elsevier, vol. 23(2), pages 223-233, October.
    6. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    7. Cosslett, Stephen R, 1983. "Distribution-Free Maximum Likelihood Estimator of the Binary Choice Model," Econometrica, Econometric Society, vol. 51(3), pages 765-782, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
    2. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
    2. Khan, Shakeeb & Powell, James L., 2001. "Two-step estimation of semiparametric censored regression models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 73-110, July.
    3. Magnac, Thierry & Maurin, Eric, 2007. "Identification and information in monotone binary models," Journal of Econometrics, Elsevier, vol. 139(1), pages 76-104, July.
    4. Chen, Songnian, 2019. "Quantile regression for duration models with time-varying regressors," Journal of Econometrics, Elsevier, vol. 209(1), pages 1-17.
    5. Steven Lehrer & Gregory Kordas, 2013. "Matching using semiparametric propensity scores," Empirical Economics, Springer, vol. 44(1), pages 13-45, February.
    6. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
    7. Mayer, Walter J. & Dorsey, Robert E., 1998. "Maximum score estimation of disequilibrium models and the role of anticipatory price-setting," Journal of Econometrics, Elsevier, vol. 87(1), pages 1-24, August.
    8. Chen, Songnian & Khan, Shakeeb, 2003. "Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models," Journal of Econometrics, Elsevier, vol. 117(2), pages 245-278, December.
    9. Joel L. Horowitz, 2018. "Bootstrap Methods in Econometrics," Papers 1809.04016, arXiv.org.
    10. Santos, Carlos, 2011. "The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis," MPRA Paper 31341, University Library of Munich, Germany.
    11. Gregory Kordas, 2006. "Smoothed binary regression quantiles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 387-407, April.
    12. Chen, Songnian, 2010. "An integrated maximum score estimator for a generalized censored quantile regression model," Journal of Econometrics, Elsevier, vol. 155(1), pages 90-98, March.
    13. Takahiro ITO, 2024. "Binary and Ordered Response Models in Randomized Experiments: Applications of the Resampling-Based Maximum Likelihood Method," GSICS Working Paper Series 42, Graduate School of International Cooperation Studies, Kobe University.
    14. Joel L. Horowitz, 2018. "Bootstrap methods in econometrics," CeMMAP working papers CWP53/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    15. Ying-Ying Lee, 2015. "Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification," Econometrics, MDPI, vol. 4(1), pages 1-14, December.
    16. Li, Tong & Oka, Tatsushi, 2015. "Set identification of the censored quantile regression model for short panels with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 363-377.
    17. Andrés Langebaek R. & Diego Vásquez E., 2007. "Determinantes de la actividad innovadora en la industria manufacturera colombiana," Borradores de Economia 433, Banco de la Republica de Colombia.
    18. Ichimura, Hidehiko & Thompson, T. Scott, 1998. "Maximum likelihood estimation of a binary choice model with random coefficients of unknown distribution," Journal of Econometrics, Elsevier, vol. 86(2), pages 269-295, June.
    19. Brunner, Eric & Sonstelie, Jon, 2003. "School finance reform and voluntary fiscal federalism," Journal of Public Economics, Elsevier, vol. 87(9-10), pages 2157-2185, September.
    20. Delgado, Miguel A. & Rodriguez-Poo, Juan M. & Wolf, Michael, 2001. "Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator," Economics Letters, Elsevier, vol. 73(2), pages 241-250, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cpm:cepmap:8720. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sébastien Villemot (email available below). General contact details of provider: https://edirc.repec.org/data/ceprefr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.