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Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables

Arthur Lewbel ()

No 454, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: This paper provides estimators of discrete choice models, including binary, ordered, and multinomial response (choice) models. The estimators closely resemble ordinary and two stage least squares. The distribution of the model's latent variable error is unknown and may be related to the regressors, e.g., the model could have errors that are heteroscedastic or correlated with regressors. The estimator does not require numerical searches, even for multinomial choice. For ordered and binary choice models the estimator is root N consistent and asymptotically normal. A consistent estimator of the conditional error distribution is also provided.

Keywords: semiparametric; discrete choice; qualitative response; heteroskedasticity; binomial response; multinomial response; measurement error; instrumental variables; binary choice; ordered choice; latent variable models (search for similar items in EconPapers)
JEL-codes: C14 C25 C13 (search for similar items in EconPapers)
Pages: 33 pages
Date: 1999-08-15
New Economics Papers: this item is included in nep-ecm
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Published, Journal of Econometrics, 97:1, 145-177, 2000.

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