有序响应模型的简单半参数估计

IF 1 4区 经济学 Q3 ECONOMICS Econometric Theory Pub Date : 2022-07-22 DOI:10.1017/s0266466622000317
Ruixuan Liu, Zhengfei Yu
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引用次数: 0

摘要

针对误差分布未知的有序响应模型,提出了两种简单的半参数估计方法。该方法不需要用户选择任何调优参数,并且自动结合未知分布函数的单调性限制。在模型中固定有限维参数,基于相关二选一数据或整个有序响应数据构建误差分布的非参数极大似然估计。然后,我们根据给定估计分布函数的力矩条件获得有限维参数的估计。我们的半参数方法提供回归系数和阈值参数的根n一致和渐近正态估计。我们还开发了有效的引导推理程序。仿真研究和实际数据应用证明了本文方法的优越性。
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SIMPLE SEMIPARAMETRIC ESTIMATION OF ORDERED RESPONSE MODELS
We propose two simple semiparametric estimation methods for ordered response models with an unknown error distribution. The proposed methods do not require users to choose any tuning parameters, and they automatically incorporate the monotonicity restriction of the unknown distribution function. Fixing finite-dimensional parameters in the model, we construct nonparametric maximum likelihood estimates for the error distribution based on the related binary choice data or the entire ordered response data. We then obtain estimates for finite-dimensional parameters based on moment conditions given the estimated distribution function. Our semiparametric approaches deliver root-n consistent and asymptotically normal estimators of the regression coefficient and threshold parameter. We also develop valid bootstrap procedures for inference. The advantages of our methods are borne out in simulation studies and a real data application.
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来源期刊
Econometric Theory
Econometric Theory MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY
CiteScore
1.90
自引率
0.00%
发文量
52
审稿时长
>12 weeks
期刊介绍: Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.
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