Identification and estimation of heteroscedastic binary choice models with endogenous dummy regressors

doi:10.1111/ectj.12109

CORC > 上海财经大学 > 上海财经大学

	Identification and estimation of heteroscedastic binary choice models with endogenous dummy regressors
	Mu, Beili; Zhang, Zhengyu
刊名	ECONOMETRICS JOURNAL
	2018-06
卷号	21 期号:2 页码:218-246
关键词	Binary choice models Endogenous dummy variable Heteroscedasticity Partially linear varying coefficient model
ISSN号	1368-4221
DOI	10.1111/ectj.12109
英文摘要	In this paper, we consider the semiparametric identification and estimation of a heteroscedastic binary choice model with endogenous dummy regressors and no parametric restriction on the distribution of the error term. Our approach addresses various drawbacks associated with previous estimators proposed for this model. It allows for: general multiplicative heteroscedasticity in both selection and outcome equations; a nonparametric selection mechanism; and multiple discrete endogenous regressors. The resulting three-stage estimator is shown to be asymptotically normal, with a convergence rate that can be arbitrarily close to n-1/2 if certain smoothness assumptions are satisfied. Simulation results show that our estimator performs reasonably well in finite samples. Our approach is then used to study the intergenerational transmission of smoking habits in British households.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	WILEY
WOS记录号	WOS:000436805900006
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/605]
专题	上海财经大学
通讯作者	Mu, Beili
作者单位	Shanghai Univ Finance & Econ, Sch Econ, 777 Guoding Rd, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Mu, Beili,Zhang, Zhengyu. Identification and estimation of heteroscedastic binary choice models with endogenous dummy regressors[J]. ECONOMETRICS JOURNAL,2018,21(2):218-246.
APA	Mu, Beili,&Zhang, Zhengyu.(2018).Identification and estimation of heteroscedastic binary choice models with endogenous dummy regressors.ECONOMETRICS JOURNAL,21(2),218-246.
MLA	Mu, Beili,et al."Identification and estimation of heteroscedastic binary choice models with endogenous dummy regressors".ECONOMETRICS JOURNAL 21.2(2018):218-246.