Estimating the Link Function in Multinomial Response Models under Endogeneity and Quadratic Loss

This paper considers estimation and inference for the multinomial response model in the case where endogenous variables are arguments of the unknown link function. Semiparametric estimators are proposed that avoid the parametric assumptions underlying the likelihood approach as well as the loss of precision when using nonparametric estimation. A data based shrinkage estimator that seeks an optimal combination of estimators and results in superior risk performance under quadratic loss is also developed.


Issue Date:
2004
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/25095
Total Pages:
26
JEL Codes:
C10; C24
Series Statement:
CUDARE Working Paper 970




 Record created 2017-04-01, last modified 2017-08-24

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