TY - JOUR
T1 - Distribution theory for the analysis of binary choice under uncertainty with nonparametric estimation of expectations
AU - Ahn, Hyungtaik
AU - Manski, Charles F.
PY - 1993/4
Y1 - 1993/4
N2 - In analyzing discrete choice under uncertainty, the practice has been to specify expectations and preferences up to a finite-dimensional parameter. Recently, Manski proved the consistency of a two-stage, semiparametric estimator applicable if expectations are fulfilled and are conditioned only on variables observed by the researcher. The first stage estimates expectations nonparametrically, and the second stage uses choice data and the expectations estimate to make parametric, quasi-maximum-likelihood inference on preferences. This paper proves that the estimate of preference parameters converges at rate √N to a limiting normal distribution if the expectations estimate is chosen appropriately. The estimate is √N-asymptotically unbiased. Its asymptotic variance exceeds the inverted Fisher information for the preference parameter.
AB - In analyzing discrete choice under uncertainty, the practice has been to specify expectations and preferences up to a finite-dimensional parameter. Recently, Manski proved the consistency of a two-stage, semiparametric estimator applicable if expectations are fulfilled and are conditioned only on variables observed by the researcher. The first stage estimates expectations nonparametrically, and the second stage uses choice data and the expectations estimate to make parametric, quasi-maximum-likelihood inference on preferences. This paper proves that the estimate of preference parameters converges at rate √N to a limiting normal distribution if the expectations estimate is chosen appropriately. The estimate is √N-asymptotically unbiased. Its asymptotic variance exceeds the inverted Fisher information for the preference parameter.
UR - http://www.scopus.com/inward/record.url?scp=38249003168&partnerID=8YFLogxK
U2 - 10.1016/0304-4076(93)90123-M
DO - 10.1016/0304-4076(93)90123-M
M3 - Article
AN - SCOPUS:38249003168
SN - 0304-4076
VL - 56
SP - 291
EP - 321
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 3
ER -