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Semiparametric Estimation of Location and Other Discrete Choice Moments

Published online by Cambridge University Press:  11 February 2009

Arthur Lewbel
Arthur Lewbel
Affiliation:
Brandeis University
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Abstract

Latent variable discrete choice model estimation and interpretation depend on the density function of the latent variable's unobserved random component. This paper provides a simple semiparametric estimator of the moments of this density. The results can be used as starting values for parametric estimators, to estimate the appropriate location and scaling for semiparametric estimators, for specification testing including tests of latent error skewness and kurtosis, and to estimate coefficients of discrete explanatory variables in the model.

Type
Articles
Information
Econometric Theory , Volume 13 , Issue 1 , February 1997 , pp. 32 - 51
Copyright
Copyright © Cambridge University Press 1997

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References

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