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Discrete choice models are frequently used in statistical and econometric practice. Standardmodels such as logit models are based on exact knowledge of the form of the link andlinear index function. Semiparametric models avoid possible misspecification but often introducea computational burden. It is therefore interesting to decide between approaches.Here we propose a test of semiparametric versus parametric single index modelling. Ourprocedure allows that the (linear) index of the...

Semiparametric single index versus fixed link function modelling