An Efficient Semiparametric Estimator for Binary Response Models

Roger Klein () and Richard H Spady

Econometrica, 1993, vol. 61, issue 2, 387-421

Abstract: This paper proposes an estimator for discrete choice models that makes no assumption concerning the functional form of th e choice probability function where this function can be characterized by an index. The estimator is shown to be consistent, asymptotically normally distributed, and to achieve the semiparametric efficiency bound. Monte Carlo evidence indicates that there may be only modest efficiency losses relative to maximum likelihood estimation when the distribution of the disturbances is known and that the small-sample behavior of the estimator in other cases is good. Copyright 1993 by The Econometric Society.

Date: 1993
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Working Paper: An Efficient Semiparametric Estimator for Binary Response Models (1991)
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