In structural dynamic discrete choice models, unobserved and mis-measured state variables may lead to biased parameter estimates and misleading inference. In this paper, we show that instrumental variables can address such measurement problems when they relate to state variables that evolve...

We propose a multi-index binary response model for analyzing large databases (i.e., with many regressors). We combine many regressors into factors (or indexes) and then estimate the link function via parametric or nonparametric methods. Neither the estimation of factors nor the determination of...

The estimation problem in this paper is motivated by maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional...