Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 721-742 |
| Number of pages | 22 |
| Journal | Econometric Theory |
| Volume | 22 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 2006 Aug 1 |
All Science Journal Classification (ASJC) codes
- Social Sciences (miscellaneous)
- Economics and Econometrics
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Cite this
Guerre, E., & Moon, H. R. (2006). A study of a semiparametric binary choice model with integrated covariates. Econometric Theory, 22(4), 721-742. https://doi.org/10.1017/S0266466606060336