Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Indirect Estimation of Semiparametric Binary Choice Models
Author
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
Links
Document type
Journal article
Publisher
Wiley-Blackwell
Topic
- Economics
Keywords
- Indirect Inference
- Binary Choice Models
Status
Published
ISBN/ISSN/Other
- ISSN: 1468-0084