Distribution-free estimation of heteroskedastic binary response models in Stata

In this article, we consider two recently proposed semiparametric estimators for distribution-free binary response models under a conditional median restriction. We show that these estimators can be implemented in Stata by using the n1 command through simple modifications to the nonlinear least-squares probit criterion function. We then introduce dfbr, a new Stata command that implements these estimators, and provide several examples of its usage. Although it is straightforward to carry out the estimation with n1, the dfbr implementation uses Mata for improved performance and robustness.