Asymptotic Variance and Extensions of a Denisty-Weighted-Response Semiparametric Estimator

• Main Authors: LEE, Myoung-jae, HUANG, Fali, KIM, Young-sook
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: semiparametrics; two-stage estimation; binary response; ordered discrete response; panel data; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/74; https://ink.library.smu.edu.sg/context/soe_research/article/1073/viewcontent/jetem19_1_3.pdf
• Institution: Singapore Management University

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...