Download or read book An Efficient Semiparametric Estimator for Discrete Choice Models written by Roger W. Klein and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Semiparametric Estimation of Binary Discrete Choice Models written by Margarida Genius and published by . This book was released on 1990 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Identification and Efficient Semiparametric Estimation of a Dynamic Discrete Game written by Patrick L. Bajari and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we study the identification and estimation of a dynamic discrete game allowing for discrete or continuous state variables. We first provide a general nonparametric identification result under the imposition of an exclusion restriction on agent payoffs. Next we analyze large sample statistical properties of nonparametric and semiparametric estimators for the econometric dynamic game model. We also show how to achieve semiparametric efficiency of dynamic discrete choice models using a sieve based conditional moment framework. Numerical simulations are used to demonstrate the finite sample properties of the dynamic game estimators. An empirical application to the dynamic demand of the potato chip market shows that this technique can provide a useful tool to distinguish long term demand from short term demand by heterogeneous consumers.
Download or read book Essays on Semiparametric Estimation of Multinomial Discrete Choice Models written by and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter I propose a semiparametric estimator that allows for a flexible form of heteroskedasticity for multinomial discrete choice (MDC) models. Despite being semiparametric, the rate of convergence of the smoothed maximum score (SMS) estimator is not affected by the number of alternative choices. I show the strong consistency and asymptotic normality of the proposed estimator. The rate of convergence of the SMS estimator for MDC models can be made arbitrarily close to the inverse of the square root of the sample size, which is the same as the rate of convergence of Horowitz's (1992) SMS estimator for the binary response model. Monte Carlo experiments provide evidence that the proposed estimator has a smaller mean squared error than both the conditional logit estimator and the maximum score estimator when heteroskedasticity exists. I apply the SMS estimator to study the college decisions of high school graduates using a subset of Chilean data from 2011. The estimation results of the SMS estimator differ significantly from the results of the conditional logit estimator, which suggests possible misspecification of parametric models and the usefulness of considering the SMS estimator as an alternative for estimating MDC models. Many MDC applications include potentially endogenous regressors. To allow for endogeneity, in the second chapter I propose a two-stage instrumental variables estimator where the endogenous variable is replaced by a linear estimate, and then the preference parameters in the MDC equation are estimated by the SMS estimator described in the first chapter. In neither stage do I specify the distribution of the error terms, so this two-stage estimation method is semiparametric. This estimator is a generalization of the estimator proposed by Fox (2007). Fox suggests applying the maximum score estimator in the second stage of estimation. This chapter is the first to derive the statistical properties of an estimator allowing for endogeneity in this semiparametric setting. The two-stage instrument variables estimator is consistent when the linear function of instrument variables and other covariates can rank order the choice probabilities. The second chapter also provides results of some Monte Carlo experiments.
Download or read book Semiparametric Estimation of Discrete Choice Models written by Trueman Scott Thompson and published by . This book was released on 1989 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Note on Semiparametric Estimation of Finite Mixtures of Discrete Choice Models with Application to Game Theoretic Models written by Patrick Bajari and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We view a game abstractly as a semiparametric mixture distribution and study the semiparametric efficiency bound of this model. Our results suggest that a key issue for inference is the number of equilibria compared to the number of outcomes. If the number of equilibria is sufficiently large compared to the number of outcomes, root-n consistent estimation of the model will not be possible. We also provide a simple estimator in the case when the efficiency bound is strictly above zero.
Download or read book Semiparametric Estimation and Efficiency Bounds of Binary Choice Models when the Models Contain One Continuous Variable written by Kazumitsu Nawata and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonparametric and Semiparametric Methods in Econometrics and Statistics written by William A. Barnett and published by Cambridge University Press. This book was released on 1991-06-28 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.
Download or read book Semiparametric Estimation of Binary Choice Models Based on Medians of the Grouped Data written by Kazumitsu Nawata and published by . This book was released on 1989 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Microeconometrics written by Steven Durlauf and published by Springer. This book was released on 2016-06-07 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Download or read book Efficient and Adaptive Estimation for Semiparametric Models written by Peter J. Bickel and published by Springer. This book was released on 1998-06-01 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with estimation in situations in which there is believed to be enough information to model parametrically some, but not all of the features of a data set. Such models have arisen in a wide context in recent years, and involve new nonlinear estimation procedures. Statistical models of this type are directly applicable to fields such as economics, epidemiology, and astronomy.
Download or read book An Efficient Method of Moments Estimator for Discrete Choice Models with Choice based Sampling written by Guido W. Imbens and published by . This book was released on 1990 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Efficient Methods of Moments Estimator for Discrete Choice Models with Choice Models with Choice based Sampling written by Guido Imbens and published by . This book was released on 1991 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Companion to Theoretical Econometrics written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.
Download or read book An Efficient Semiparametric Estimator for Binary Response Models written by Roger Klein and published by . This book was released on 1991 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Semiparametric and Nonparametric Methods in Econometrics written by Joel L. Horowitz and published by Springer Science & Business Media. This book was released on 2010-07-10 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard methods for estimating empirical models in economics and many other fields rely on strong assumptions about functional forms and the distributions of unobserved random variables. Often, it is assumed that functions of interest are linear or that unobserved random variables are normally distributed. Such assumptions simplify estimation and statistical inference but are rarely justified by economic theory or other a priori considerations. Inference based on convenient but incorrect assumptions about functional forms and distributions can be highly misleading. Nonparametric and semiparametric statistical methods provide a way to reduce the strength of the assumptions required for estimation and inference, thereby reducing the opportunities for obtaining misleading results. These methods are applicable to a wide variety of estimation problems in empirical economics and other fields, and they are being used in applied research with increasing frequency. The literature on nonparametric and semiparametric estimation is large and highly technical. This book presents the main ideas underlying a variety of nonparametric and semiparametric methods. It is accessible to graduate students and applied researchers who are familiar with econometric and statistical theory at the level taught in graduate-level courses in leading universities. The book emphasizes ideas instead of technical details and provides as intuitive an exposition as possible. Empirical examples illustrate the methods that are presented. This book updates and greatly expands the author’s previous book on semiparametric methods in econometrics. Nearly half of the material is new.
Download or read book Indirect Estimation of Semiparametric Binary Choice Models written by Joakim Westerlund and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
