Estimation of Semiparametric Limited Dependent

9321024 Honore这个项目有助于我们理解广泛应用于经济研究的统计模型的性质。这项研究将提供全新的计量经济学估计类别，而不受现有方法的某些限制。该项目的结果将特别有助于更彻底地分析经济小组数据，例如收入动态小组研究的调查数据，以及对失业持续时间的计量经济学分析。更具体地说，该项目继续研究半参数模型的估计在三个领域。该项目的第一部分表明，有可能修改计量经济学文献中审查回归模型的大量估计器，以便在审查点是随机的并且不是所有个体都知道的情况下应用它们。这种方法的优点是，所得到的估计器将比文献中提出的假设更弱。例如，研究者将能够构建只需要条件对称或误差的分位数独立性的估计器，而不是误差和回归量之间的独立性。项目的第二部分涉及离散选择面板数据模型的估计。已知，当所有解释变量都是外生变量或唯一的解释变量是滞后变量时，可以使用条件logit方法来估计面板数据logit模型。到目前为止，当解释变量由滞后因变量和外生变量组成时，如何估计这种模型尚不清楚。在这个项目中采用的方法将用于logit以及半参数设置。第三部分继续对计量经济久期模型进行研究。研究者证明了可以修改混合威布尔分布i的参数估计，使收敛速率任意接近根n。

9321024 Honore This project contributes to our understanding of the properties of statistical models that are widely used in economic research. The research will provide whole new classes of econometric estimators that are not subject to some of the limitations of existing methods. The results from this project will be especially useful for a more thorough analysis of economic panel data such as the survey data from the Panel Study of Income Dynamics and for the econometric analysis of the duration of unemployment. More specifically, the project continues research on the estimation of semiparametric models in three areas. The first part of the project shows that it is possible to modify the large battery of estimators for the censored regression model in the econometrics literature in such a way that they can be applied when the censoring points are random and not known for all individuals. The advantage of this approach is that the resulting estimators will make weaker assumptions than the proposed in the literature. For example, the investigator will be able to construct estimators that require only conditional symmetry or quantile independence of the errors rather than independence between the errors and the regressors. The second part of the project concerns the estimation of discrete choice panel data models. It is known that a conditional logit approach can be used to estimate panel data logit models when all the explanatory variables are exogenous or when the only explanatory variables are lagged variables. Thus far, it is not known how to estimate such models when the explanatory variables consist of lagged dependent variables as well as exogenous variables. The approach taken in this project will be used in a logit as well as a semiparametric setting. The third part continues work on econometric duration models. The investigator demonstrated that it is possible to modify his estimators of the parameters of a mixed Weibull distribution i n such a way that rates of convergence arbitrarily close to root-n.