Consistent estimation of limited dependent variable models despite misspecification of distribution

DOI10.1016/0304-4076(86)90017-5MaRDI QIDQ580866zbMATH OpenOpenAlexFDO

Authors Paul A. Ruud

Publication date 1986

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

Full work available at URL https://doi.org/10.1016/0304-4076(86)90017-5

zbMATH Keywords

consistentimperfectly observed dependent variablelimited dependent variables modelsmisspecificationregression functionslope parametersweighted M-estimatorweighted pseudo maximum likelihood estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Review text

This paper focuses on estimation when observation of the true dependent variable, y, is imperfect. Another class of problems we will examine are characterized by observation of y up to an unknown, but monotonic increasing, transformation. The popular methods of estimation for limited dependent variables models (LDV) specify the error distribution and their robustness against misspecification is an open question. In this paper, the author proposes a weighted M-estimator (WME) for these estimation problems. This estimator is consistent, up to an unknown scaling factor, for the slope parameters in the regression function on the imperfectly observed dependent variable. The WME is attractive because it has weak requirements for knowledge of the relationship between the observed dependent variable and its latent counterpart and because the computation is a modification of popular estimators.

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Cited in

(24)

• Specifying and testing econometric models for rank-ordered data
• Distribution-free and link-free estimation for the sample selection model
• Median regression for ordered discrete response
• Consistency of two-step sample selection estimators despite misspecification of distribution
• Maximum likelihood estimation of a binary choice model with random coefficients of unknown distribution
• Two-step series estimation of sample selection models
• Discrete factor approximations in simultaneous equation models: Estimating the impact of a dummy endogenous variable on a continuous outcome
• Indirect estimation of (latent) linear models with ordinal regressors. A Monte Carlo study and some empirical illustrations
• Nonparametric two-stage estimation of conditional choice probabilities in a binary choice model under uncertainty
• Recent contributions to censored regression models
• Semiparametric estimation of the random utility model with rank-ordered choice data
• Semiparametrically efficient estimation of the average linear regression function
• Misclassification in binary choice models
• Bivariate non-normality in the sample selection model
• The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
• Proportional Projections in Limited Dependent Variable Models
• Efficient specification tests for limited dependent variable models
• Probit with Dependent Observations
• A MODIFIED AVERAGE DERIVATIVES ESTIMATOR
• Weighted Minimum Mean-Square Distance from Independence Estimation
• Consistent estimation of limited dependent variable models despite misspecification of distribution
• Binary outcomes, OLS, 2SLS and IV probit
• Slope consistency of quasi-maximum likelihood estimator for binary choice models
• Estimation of disequilibrium and limited dependent variable models with serially dependent residuals

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