Nonparametric and Distribution-Free Estimation of the Binary Choice and the Threshold-Crossing Models

Rosa Matzkin

No 889, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper studies the problem of nonparametric identification and estimation of binary threshold-crossing and binary choice models. First, conditions are given that guarantee the nonparametric identification of both the function of exogenous observable variables and the distribution of the random terms. Second, the identification results are employed to develop strongly consistent estimation methods that are nonparametric in both the function of observable exogenous variables and the distribution of the unobservable random variables. The estimators are obtained by maximizing a likelihood function over nonparametric sets of functions. A two- step constrained optimization procedure is devised to compute these estimators.

Keywords: Nonparametric models; identification; likelihood function; consistency (search for similar items in EconPapers)
Pages: 53 pages
Date: 1988-09
Note: CFP 809.
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Citations: View citations in EconPapers (12)

Published in Econometrica (March 1992), 60(2): 239-270

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Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:889

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