Indirect Estimation of Semiparametric Binary Choice Models

17 Pages Posted: 8 Mar 2014

See all articles by Joakim Westerlund

Joakim Westerlund

Deakin University

Per Hjertstrand

Research Institute of Industrial Economics (IFN)

Date Written: April 2014

Abstract

One of the most cited studies within the field of binary choice models is that of Klein and Spady (1993), in which the authors propose a semiparametric estimator for use when the distribution of the error term is unknown. However, although theoretically appealing, the estimator has been found to be difficult to implement, and therefore not very attractive from an applied point of view. The current study offers an indirect inference‐based solution to this problem. The new estimator is not only simple with good small‐sample properties, but also consistent and asymptotically normal.

JEL Classification: C25

Suggested Citation

Westerlund, Joakim and Hjertstrand, Per, Indirect Estimation of Semiparametric Binary Choice Models (April 2014). Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 2, pp. 298-314, 2014, Available at SSRN: https://ssrn.com/abstract=2406262 or http://dx.doi.org/10.1111/obes.12000

Joakim Westerlund (Contact Author)

Deakin University ( email )

75 Pigdons Road
Victoria, Victoria 3216
Australia

Per Hjertstrand

Research Institute of Industrial Economics (IFN) ( email )

Box 55665
Grevgatan 34, 2nd floor
Stockholm, SE-102 15
Sweden

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