A Study of a Semiparametric Binary Choice Model with Integrated Covariates

Emmanuel Guerre and Hyungsik Moon ()

No 05.37, IEPR Working Papers from Institute of Economic Policy Research (IEPR)

Abstract: This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purpose, we find that the MSE and SMSE are at least sqrt(n)-consistent. Comparing this rate to the parametric MLE’s convergence rate, we show that when a normalization restriction is imposed on the parameter, the Park and Phillips (2000)’s parametric MLE converges at a rate of n^(3/4) and its limiting distribution is a mixed normal. Finally, we show briefy how to apply our estimation method to a nonstationary single index model.

Pages: 17 pages
Date: 2005-10
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: A STUDY OF A SEMIPARAMETRIC BINARY CHOICE MODEL WITH INTEGRATED COVARIATES (2006)
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: https://EconPapers.repec.org/RePEc:scp:wpaper:05-37

Access Statistics for this paper

More papers in IEPR Working Papers from Institute of Economic Policy Research (IEPR) Contact information at EDIRC.
Bibliographic data for series maintained by ().