Maximum Score Estimation of Preference Parameters for a Binary Choice Model under Uncertainty
2013/12/10
研討會日期 : 2013-12-10
時間 : 14:00
主講人 : Professor Le-Yu Chen
地點 : Conference Room B110
演講者簡介 : Professor Chen received his Ph.D. in Economics from University College London in 2009. He is currently an Assistant Research Fellow at Institute of Economics, Academia Sinica. His research field focuses on Microeconometrics.
演講摘要 : This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional expectations nonparametrically in the first stage and then the preference parameters in the second stage based on Manski (1975, 1985)'s maximum score estimator using the choice data and first stage estimates. The paper establishes consistency and derives rate of convergence of the two-stage maximum score estimator. Moreover, the paper also provides sufficient conditions under which the two-stage estimator is asymptotically equivalent in distribution to the corresponding single-stage estimator that assumes the first stage input is known. These results are of independent interest for maximum score estimation with nonparametrically generated regressors. The paper also presents some Monte Carlo simulation results for finite-sample behavior of the two-stage estimator.
