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SEMIPARAMETRIC ESTIMATION OF MULTIPLE EQUATION MODELS

Published online by Cambridge University Press:  01 August 2000

Gabriel A. Picone
Affiliation:
University of South Florida
J.S. Butler
Affiliation:
Vanderbilt University

Abstract

This paper proposes a semiparametric estimator for multiple equations multiple index (MEMI) models. Examples of MEMI models include several sample selection models and the multinomial choice model. The proposed estimator minimizes the average distance between the dependent variable unconditional and conditional on an index. The estimator is √N-consistent and asymptotically normally distributed. The paper also provides a Monte Carlo experiment to evaluate the finite-sample performance of the estimator.

Type
Research Article
Copyright
© 2000 Cambridge University Press

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