Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models

DOI10.1016/S0304-4076(03)00148-9zbMath1030.62025OpenAlexW2008579585MaRDI QIDQ1414625

Songnian Chen, Shakeeb Khan

Publication date: 4 December 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00148-9

zbMATH Keywords

Binary choiceMultiplicative heteroskedasticityOrdered responseSemiparametric efficiency bound

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric estimation (62G05) Point estimation (62F10)

Related Items (7)

On efficient estimation of the ordered response model ⋮ Informational content of special regressors in heteroskedastic binary response models ⋮ SEMIPARAMETRIC ESTIMATION OF A HETEROSKEDASTIC SAMPLE SELECTION MODEL ⋮ A generalized ordered Probit model ⋮ On uniform inference in nonlinear models with endogeneity ⋮ Distribution free estimation of heteroskedastic binary response models using probit/logit criterion functions ⋮ Discrete-response state space models with conditional heteroscedasticity: an application to forecasting the federal funds rate target

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