TY - JOUR
T1 - A study of a semiparametric binary choice model with integrated covariates
AU - Guerre, Emmanuel
AU - Moon, Hyungsik Roger
N1 - Copyright:
Copyright 2013 Elsevier B.V., All rights reserved.
PY - 2006/8
Y1 - 2006/8
N2 - This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purposes, we find that the maximum score estimator and smoothed maximum score estimator are at least √n-consistent. Comparing this rate to the convergence rate of the parametric maximum likelihood estimator (MLE), we show that when a normalization restriction is imposed on the parameter, the Park and Phillips (2000, Econometrica 68, 1249-1280) parametric MLE converges at a rate of n3/4 and its limiting distribution is a mixed normal. Finally, we show briefly how to apply our estimation method to a nonstationary single-index model.
AB - This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purposes, we find that the maximum score estimator and smoothed maximum score estimator are at least √n-consistent. Comparing this rate to the convergence rate of the parametric maximum likelihood estimator (MLE), we show that when a normalization restriction is imposed on the parameter, the Park and Phillips (2000, Econometrica 68, 1249-1280) parametric MLE converges at a rate of n3/4 and its limiting distribution is a mixed normal. Finally, we show briefly how to apply our estimation method to a nonstationary single-index model.
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U2 - 10.1017/S0266466606060336
DO - 10.1017/S0266466606060336
M3 - Article
AN - SCOPUS:33745660815
VL - 22
SP - 721
EP - 742
JO - Econometric Theory
JF - Econometric Theory
SN - 0266-4666
IS - 4
ER -