Estimation of the directions for unknown parameters in semiparametric models

Han, Jinyue and Wang, Jun and Gao, Wei and Tang, Man-Lai (2023): Estimation of the directions for unknown parameters in semiparametric models.

Abstract

Semiparametric models are useful in econometrics, social sciences and medicine application. In this paper, a new estimator based on least square methods is proposed to estimate the direction of unknown parameters in semi-parametric models. The proposed estimator is consistent and has asymptotic distribution under mild conditions without the knowledge of the form of link function. simulations show that the proposed estimator is significantly superior to maximum score estimator given by Manski (1975) for binary response variables. When the error term is long-tailed distributions or distribution with no moments, the proposed estimator perform well. Its application is illustrated with data of exportibg participation of manufactures in Guangdong

• Item Type: MPRA Paper
• Language: English
• Keywords: Binary model, direction, least squares estimator, maximum score, semi-parametric models, single index model.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation

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