Scandinavian Working Papers in Economics

Working Paper Series,
Research Institute of Industrial Economics

No 1535: A Simplified Klein–Spady Estimator for Binary Choice Models

Per Hjertstrand (), Andrew Proctor () and Joakim Westerlund ()
Additional contact information
Per Hjertstrand: Research Institute of Industrial Economics (IFN), Postal: Research Institute of Industrial Economics, Box 55665, SE-102 15 Stockholm, Sweden
Andrew Proctor: Department of Economics, Ludwig Maximilian University of Munich
Joakim Westerlund: Department of Economics, Lund University, Sweden, and, Postal: Department of Economics, Deakin University,, Australia

Abstract: One of the most cited studies within the field of binary choice models is that of Klein and Spady (1993), in which the authors propose an estimator that is not only non-parametric with respect to the choice density but also asymptotically efficient. However, while theoretically appealing, the estimator has been found to be very difficult to implement with poor small-sample properties. This paper proposes a simplified version of the Klein–Spady estimator, which is shown to be easy to implement, numerically relatively more stable, and with excellent small-sample and asymptotic properties.

Keywords: Binary choice; Maximum likelihood; Semi-parametric estimation

JEL-codes: C14; C25; D91

Language: English

43 pages, September 15, 2025

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