English, Article, Journal or magazine article edition: Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables Arthur Lewbel

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Bookmark: http://trove.nla.gov.au/version/73293
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables
Author
  • Arthur Lewbel
Physical Description
  • preprint
Notes
  • This paper provides estimators of discrete choice models, including binary, ordered, and multinomial response (choice) models. The estimators closely resemble ordinary and two stage least squares. The distribution of the model's latent variable error is unknown and may be related to the regressors, e.g., the model could have errors that are heteroscedastic or correlated with regressors. The estimator does not require numerical searches, even for multinomial choice. For ordered and binary choice models the estimator is root N consistent and asymptotically normal. A consistent estimator of the conditional error distribution is also provided.
  • semiparametric, discrete choice, qualitative response, heteroskedasticity, binomial response, multinomial response, measurement error, instrumental variables, binary choice, ordered choice, latent variable models
  • RePEc:boc:bocoec:454
Language
  • English
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