SEMIPARAMETRIC ESTIMATION OF A BINARY RESPONSE MODEL WITH A CHANGE-POINT DUE TO A COVARIATE THRESHOLD

• 영문명: SEMIPARAMETRIC ESTIMATION OF A BINARY RESPONSE MODEL WITH A CHANGE-POINT DUE TO A COVARIATE THRESHOLD
• 발행기관: 한국계량경제학회
• 저자명: Sokbae Lee Myung Hwan Seo
• 간행물 정보: 『한국계량경제학회 학술대회 논문집』2007년 하계학술대회, 1~24쪽, 전체 24쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2007.08.30

영문 초록

This paper is concerned with semiparametric estimation of a threshold binary response model. The estimation method considered in the paper is semiparametric since the parameters for a regression function are finite-dimensional, while allowing for heteroskedasticity of unknown form. In particular, the paper considers Manski (1975, 1985)’s maximum score estimator. The model in this paper is irregular because of a change-point due to an unknown threshold in a covariate. This irregularity coupled with the discontinuity of the objective function of the maximum score estimator complicates the analysis of the asymptotic behavior of the estimator. Sufficient conditions for the identification of parameters are given and the consistency of the estimator is obtained. It is shown that the estimator of the threshold parameter, γ 0 , is n −1 -consistent and the estimator of the remaining regression parameters, θ 0 , is n −1/3 -consistent. Furthermore, we obtain the asymptotic distribution of the estimator. It turns out that both estimators ˆγ and ˆθ are oracle-efficient in that n(ˆγ n − γ 0 ) and n 1/3 (ˆθ n − θ 0 ) converge weakly to the distributions to which they would converge weakly if the other parameter(s) were known.

목차

1 Introduction

2 Identification of θ 0 and γ 0

3 The Maximum Score Estimator

4 Consistency of the Estimator

5 Rates of Convergence

6 The Asymptotic Distribution of the Estimator

7 Inference

8 Simulation Study

9 Conclusions

키워드

Binary response model maximum score estimation nonlinear random utility models semiparametric estimation threshold regression