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Semiparametric least squares estimation of binary choice panel data models with endogeneity

Author

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  • Semykina, Anastasia
  • Xie, Yimeng
  • Yang, Cynthia Fan
  • Zhou, Qiankun

Abstract

This paper investigates the estimation of binary response panel data models with endogenous regressors using semiparametric least squares. The endogeneity arises from an unobserved time-invariant effect and a nonzero correlation between the idiosyncratic error and one or more explanatory variables. Our proposed estimator addresses endogeneity by the correlated random effects and control function approaches. The estimator is shown to be asymptotically normally distributed and to have satisfactory finite sample properties in Monte Carlo experiments. The method’s utility is demonstrated through an empirical application that examines the effect of a husband’s income on the labor force participation of married women.

Suggested Citation

  • Semykina, Anastasia & Xie, Yimeng & Yang, Cynthia Fan & Zhou, Qiankun, 2024. "Semiparametric least squares estimation of binary choice panel data models with endogeneity," Economic Modelling, Elsevier, vol. 132(C).
    • Handle: RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000178
    DOI: 10.1016/j.econmod.2024.106661
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    More about this item

    Keywords

    Panel data; Binary response model; Correlated random effects; Endogeneity; Semiparametric estimation; Control function approach;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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