The intercept of the binary response model is irregularly identiﬁed when the supports of both the special regressor V and the error term ε are the whole real line. This leads to the estimator of the intercept having potentially a slower than √n convergence rate, which can result in a large estimation error in practice. This paper imposes addition tail restrictions which guarantee the regular identiﬁcation of the intercept and thus the √n-consistency of its estimator. We then propose an estimator that achieves the √n rate. Finally, we extend our tail restrictions to a full-blown model with endogenous regressors.
Extremal quantile, Tail index
Cambridge University Press (CUP): HSS Journals
TAN, Lili and ZHANG, Yichong.
Root-n consistency of intercept estimators in a binary response model under tail restrictions. (2017). Econometric Theory. 1-27. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/2028
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.