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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Indirect Estimation of Semiparametric Binary Choice Models

Author

  • 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.

Publishing year

2014

Language

English

Pages

299-314

Publication/Series

Oxford Bulletin of Economics and Statistics

Volume

76

Issue

2

Document type

Journal article

Publisher

Wiley-Blackwell

Topic

  • Economics

Keywords

  • Indirect Inference
  • Binary Choice Models

Status

Published

ISBN/ISSN/Other

  • ISSN: 1468-0084