Distribution-free estimation of heteroskedastic binary response models in Stata

Jason Blevins and Shakeeb Khan

Stata Journal, 2013, vol. 13, issue 3, 588-602

Abstract: In this article, we consider two recently proposed semiparametric estimators for distribution-free binary response models under a conditional median restriction. We show that these estimators can be implemented in Stata by using the nl command through simple modifications to the nonlinear least-squares probit criterion function. We then introduce dfbr, a new Stata command that implements these estimators, and provide several examples of its usage. Although it is straightforward to carry out the estimation with nl, the dfbr implementation uses Mata for improved performance and robustness. Copyright 2013 by StataCorp LP.

Keywords: dfbr; binary response; heteroskedasticity; nonlinear least squares; semiparametric estimation; sieve estimation (search for similar items in EconPapers)
Date: 2013
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Working Paper: Distribution-Free Estimation of Heteroskedastic Binary Response Models in Stata (2015)
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