Economics at your fingertips  

Non-parametric regression for binary dependent variables

Markus Frölich ()

Econometrics Journal, 2006, vol. 9, issue 3, 511-540

Abstract: Finite-sample properties of non-parametric regression for binary dependent variables are analyzed. Non parametric regression is generally considered as highly variable in small samples when the number of regressors is large. In binary choice models, however, it may be more reliable since its variance is bounded. The precision in estimating conditional means as well as marginal effects is investigated in settings with many explanatory variables (14 regressors) and small sample sizes (250 or 500 observations). The Klein-Spady estimator, Nadaraya-Watson regression and local linear regression often perform poorly in the simulations. Local likelihood logit regression, on the other hand, is 25 to 55% more precise than parametric regression in the Monte Carlo simulations. In an application to female labour supply, local logit finds heterogeneity in the effects of children on employment that is not detected by parametric or semiparametric estimation. (The semiparametric estimator actually leads to rather similar results as the parametric estimator.) Copyright Royal Economic Society 2006

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link) link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

Page updated 2019-07-22
Handle: RePEc:ect:emjrnl:v:9:y:2006:i:3:p:511-540