Semiparametric estimation of multiple equation models

This paper proposes a semiparametric estimator for multiple equations multiple index (MEMI) models. Examples of MEMI models include several sample selection models and the multinomial choice model. The proposed estimator minimizes the average distance between the dependent variable unconditional and conditional on an index. The estimator is √N-consistent and asymptotically normally distributed. The paper also provides a Monte Carlo experiment to evaluate the finite-sample performance of the estimator.