Simple Semiparametric Estimation of Ordered Response Models: With an Application to the Interdependent Durations Model

72 Pages Posted: 17 Jul 2019

See all articles by Ruixuan Liu

Ruixuan Liu

Emory University - Department of Economics

Zhengfei Yu

University of Tsukuba

Date Written: May 9, 2019

Abstract

We propose two simple semiparametric estimation methods for ordered response models with an unknown error distribution. The proposed methods do not require users to choose any tuning parameter and they automatically incorporate the monotonicity restriction of the unknown distribution function. Fixing finite dimensional parameters in the model, we construct nonparametric maximum likelihood estimates (NPMLE) for the error distribution based on the related binary choice data or the entire ordered response data. We then obtain estimates for finite dimensional parameters based on moment conditions given the estimated distribution function. Our semiparametric approaches deliver root-n consistent and asymptotically normal estimators of the regression coefficient and threshold parameter. We also develop valid bootstrap procedures for inference. We apply our methods to the interdependent durations model in Honore and de Paula (2010), where the social interaction effect is directly related to the threshold parameter in the corresponding ordered response model. The advantages of our methods are borne out in simulation studies and a real data application to the joint retirement decision of married couples.

Keywords: Semiparametric Estimation, Shape Restriction, NPMLE, Social Interaction

JEL Classification: C14, C25, C35, C41

Suggested Citation

Liu, Ruixuan and Yu, Zhengfei, Simple Semiparametric Estimation of Ordered Response Models: With an Application to the Interdependent Durations Model (May 9, 2019). Available at SSRN: https://ssrn.com/abstract=3420906 or http://dx.doi.org/10.2139/ssrn.3420906

Ruixuan Liu

Emory University - Department of Economics ( email )

1602 Fishburne Drive
Atlanta, GA 30322
United States

Zhengfei Yu (Contact Author)

University of Tsukuba ( email )

Tsukuba University , Ibaraki Ken
Tsukuba, Ibaraki 305-8573, Ibaraki 3050006
Japan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
21
Abstract Views
237
PlumX Metrics