Publication Type
Journal Article
Version
publishedVersion
Publication Date
3-2008
Abstract
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.
Keywords
semiparametrics, two-stage estimation, binary response, ordered discrete response, panel data
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Economic Theory and Econometrics
Volume
19
Issue
1
First Page
49
Last Page
58
ISSN
0022-0531
Publisher
Korean Econometric Society
Citation
LEE, Myoung-jae; HUANG, Fali; and KIM, Young-sook.
Asymptotic Variance and Extensions of a Denisty-Weighted-Response Semiparametric Estimator. (2008). Journal of Economic Theory and Econometrics. 19, (1), 49-58.
Available at: https://ink.library.smu.edu.sg/soe_research/74
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
http://es.re.kr/jetem/view.php?year=&month=&vol=&no=&article_idx=49