Smoothed Spatial Maximum Score Estimation of Spatial Autoregressive Binary Choice Panel Models
AbstractAbstract: This paper considers spatial autoregressive (SAR) binary choice models in the context of panel data with fixed effects, where the latent dependent variables are spatially correlated. Without imposing any parametric structure of the error terms, this paper proposes a smoothed spatial maximum score (SSMS) estimator which consistently estimates the model parameters up to scale. The identification of parameters is obtained, when the disturbances are time-stationary and the explanatory variables vary enough over time along with an exogenous and time-invariant spatial weight matrix. Consistency and asymptotic distribution of the proposed estimator are also derived in the paper. Finally, a Monte Carlo study indicates that the SSMS estimator performs quite well in finite samples.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2013-061.
Date of creation: 2013
Date of revision:
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Web page: http://center.uvt.nl
Spatial Autoregressive Models; Binary Choice; Fixed Effects; Maximum Score Estimation;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- 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
- R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-16 (All new papers)
- NEP-DCM-2013-11-16 (Discrete Choice Models)
- NEP-ECM-2013-11-16 (Econometrics)
- NEP-GEO-2013-11-16 (Economic Geography)
- NEP-URE-2013-11-16 (Urban & Real Estate Economics)
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