Distribution-free estimation of heteroskedastic binary response models in Stata

In this article, we consider two recently proposed semiparametric estimators for distribution-free binary response models under a conditional median restriction. We show that these estimators can be implemented in Stata by using the nl command through simple modifications to the nonlinear least-squares probit criterion function. We then introduce dfbr, a new Stata command that implements these estimators, and provide several examples of its usage. Although it is straightforward to carry out the estimation with nl, the dfbr implementation uses Mata for improved performance and robustness.


Issue Date:
2013
Publication Type:
Journal Article
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/249809
PURL Identifier:
http://purl.umn.edu/249809
Published in:
Stata Journal, 13, 3
Page range:
588-602
Total Pages:
17

Record appears in:



 Record created 2017-04-01, last modified 2020-10-28

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