ROOT-N CONSISTENCY OF INTERCEPT ESTIMATORS IN A BINARY RESPONSE MODEL UNDER TAIL RESTRICTIONS
尾部限制下二元响应模型截距估计量的根号 n 一致性
The intercept of the binary response model is not regularly identified (i.e., $\sqrt n$ consistently estimable) when the support of both the special regressor V and the error term ε are the whole real line. The estimator of the intercept potentially has a slower than $\sqrt n$ convergence rate, which can result in a large estimation error in practice. This paper imposes additional tail restrictions which guarantee the regular identification of the intercept and thus the $\sqrt n$…