Semiparametric Binary Choice Panel Data Models without Strictly Exogeneous Regressors
AbstractPrevious estimators of binary choice panel data models with fixed effects require strong parametric error asumptions, strictly exogeneous regressors, or both. This is because nonlinearity of the model precludes the use of the "moment conditions on differences" based estimators that are generally employed for linear models without strictly exogeneous regressors. Based on the cross section binary choice estimator in Lewbel (2000a), we show how discrete choice panel data models with fixed effects can be estimated with only predetermined regressors. The estimator is semiparametric in that the error distribution is not specified, it allows for some general forms of heteroskedasticity, and converges at rate root n.
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Bibliographic InfoPaper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 455.
Length: 16 pages
Date of creation: 15 Nov 1998
Date of revision: 22 Sep 2001
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panel data; fixed effects; binary choice; semiparametric; latent variable; predetermined regressors; lagged dependent variable;
Other versions of this item:
- Bo E. Honore & Arthur Lewbel, 2002. "Semiparametric Binary Choice Panel Data Models Without Strictly Exogeneous Regressors," Econometrica, Econometric Society, vol. 70(5), pages 2053-2063, September.
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