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