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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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Building on some early works, Lewbel (2000) proposed estimators for binary
and ordered discrete response models with endogenous regressors. These estimators
have been extended for panel data and for truncated and censored models by later
papers. The estimators are particularly innovative in that the latent linear regression
functions are pulled out of the nonlinear limited dependent variable models, which are
then treated as if they were the usual linear models. But understanding the estimators
and their applications have been “hampered” by less-than-ideal expositions and
assumptions. For this problem, this short note reviews the estimators and makes the
following three points. First, the derivation and proper insight of the asymptotic
variances are provided. Second, the inefficiency of the ordered discrete response
version is pointed out and corrected. Third, assumptions in the panel data extension by
Honoré and Lewbel (2002) are relaxed.
목차
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참고문헌 (13)
참고문헌 신청
Anton, A.A. / 2001 / Semiparametric estimation of a duration model / Oxford Bulletin of Economics and Statistics 63 : 517 ~ 533
Blundell, R.W. / 2003 / Endogeneity in nonparametric and semiparametric regression models, Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Vol.II
Blundell, R.W. / 2004 / Endogeneity in semiparametric binary response models / Review of Economic Studies 71 : 655 ~ 679
Honor큖, B. / 2002 / Semiparametric binary choice panel data models without strictly exogenous regressors / Econometrica 70 : 2053 ~ 2063
Horowitz, J.L / 1996 / Direct semiparametric estimation of a single index model with discrete covariates / Journal of the American Statistical Association 91 : 1632 ~ 1640
Blundell, R.W. / 2003 / Endogeneity in nonparametric and semiparametric regression models, Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Vol.II
Blundell, R.W. / 2004 / Endogeneity in semiparametric binary response models / Review of Economic Studies 71 : 655 ~ 679
Honor큖, B. / 2002 / Semiparametric binary choice panel data models without strictly exogenous regressors / Econometrica 70 : 2053 ~ 2063
Horowitz, J.L / 1996 / Direct semiparametric estimation of a single index model with discrete covariates / Journal of the American Statistical Association 91 : 1632 ~ 1640
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