Semiparametric models are useful in econometrics, social sciences and medicine application. In this paper, a new estimator based on least square methods is proposed to estimate the direction of unknown parameters in semi-parametric models. The proposed estimator is consistent and has asymptotic distribution under mild conditions without the knowledge of the form of link function. Simulations show that the proposed estimator is significantly superior to maximum score estimator given by Manski (1975) for binary response variables. When the error term is long-tailed distributions or distribution with infinity moments, the proposed estimator perform well. Its application is illustrated with data of exporting participation of manufactures in Guangdong.
翻译:半参数模型在计量经济学、社会科学及医学应用中具有重要价值。本文基于最小二乘法提出一种新估计量,用于估计半参数模型中未知参数的方向。在无需已知连接函数形式的温和条件下,该估计量具有一致性和渐近分布性质。模拟结果表明,对于二元响应变量,所提估计量显著优于Manski(1975)提出的最大得分估计量。当误差项服从长尾分布或具有无穷矩的分布时,该估计量仍表现良好。通过广东省制造业出口参与数据展示了其应用效果。