Semi-nonparametric maximum likelihood estimation with an application to a model of rent assistance

An alternative to estimation of microeconometric models under the assumption of normality of the disturbances is semi-nonparametric maximum likelihood estimation. In a particular class of this kind of models, the density function of the disturbances is approximated by a Hermite series. In this paper we will discuss this approach in the context of a popular microeconometric model (the sample selection model) and we apply the model to a truncated switching regression model with endogenous regimes. A new choice of base functions of the Hermite series is presented and the semi-nonparametric approach is used to examine sensitivity to the assumption of normality of estimation results of a model for rent assistance and housing demand in Koning (1995). Keywords: semi-nonparametric maximum likelihood, endogenous switching regressio