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Indirect Estimation of Semiparametric Binary Choice Models *
Author(s) -
Westerlund Joakim,
Hjertstrand Per
Publication year - 2014
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/obes.12000
Subject(s) - estimator , inference , binary number , econometrics , semiparametric model , mathematics , semiparametric regression , binary independence model , term (time) , point estimation , simple (philosophy) , consistent estimator , estimation , statistics , computer science , minimum variance unbiased estimator , economics , artificial intelligence , management , philosophy , physics , arithmetic , epistemology , quantum mechanics
Abstract 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.