Joakim Westerlund

Professor, Programchef - Magisterprogram i Dataanalys och ekonomi

Indirect Estimation of Semiparametric Binary Choice Models

Författare

Joakim Westerlund
Per Hjertstrand

Summary, in English

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.

Publiceringsår

2014

Språk

Engelska

Sidor

299-314

Publikation/Tidskrift/Serie

Oxford Bulletin of Economics and Statistics

Volym

Issue

Länkar

Dokumenttyp