Semiparametric Estimation of Location and Other Discrete Choice Moments

Arthur Lewbel ()

Econometric Theory, 1997, vol. 13, issue 01, pages 32-51

Abstract: Latent variable discrete choice model estimation and interpretation depend on the density function of the latent variable's unobserved random component. This paper provides a simple semiparametric estimator of the moments of this density. The results can be used as starting values for parametric estimators, to estimate the appropriate location and scaling for semiparametric estimators, for specification testing including tests of latent error skewness and kurtosis, and to estimate coefficients of discrete explanatory variables in the model.

Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:13:y:1997:i:01:p:32-51_00

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