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Binary Regressions with Bounded Median Dependence

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  • Xun Tang

    (Department of Economics, University of Pennsylvania)

Abstract

In this paper we study the identification and estimation of a class of binary regressions where conditional medians of additive disturbances are bounded between known or exogenously identified functions of regressors. This class includes several important microeconometric models, such as simultaneous discrete games with incomplete information, binary regressions with censored regressors, and binary regressions with interval data or measurement errors on regressors. We characterize the identification region of linear coefficients in this class of models and show how point-identification can be achieved in various microeconometric models under fairly general restrictions on structural primitives. We define a novel, two-step smooth extreme estimator, and prove its consistency for the identification region of coefficients. We also provide encouraging Monte Carlo evidence of the estimator’s performance in finite samples.

Suggested Citation

  • Xun Tang, 2009. "Binary Regressions with Bounded Median Dependence," PIER Working Paper Archive 09-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Handle: RePEc:pen:papers:09-003
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Binary response; median dependence; games with incomplete information; censored regressors; interval data; measurement error; partial identification; point identification; consistent estimation;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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