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Binary choice panel data models with predetermined variables

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  • Carrasco, Raquel
  • Arellano, Manuel

Abstract

(i) The explanatory variables are predetermined but not strictly exogenous. This includes lagged dependent variables as well as other forms of unspeci.ed feedback. (ii) Individual e1ects are allowed to be correlated with the explanatory variables. Dependence is speci.ed through the conditional expectation of the e1ects which is let to be non-parametric. We also present a GMM estimator for these models, which is consistent and asymptotically normal for .xed T and large N. We study its .nite sample properties in an autoregressive model by means of Monte Carlo simulations. Finally, as an empirical illustration, we estimate a female labour force participation equation withpredetermined children using PSID data.

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Bibliographic Info

Paper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/4685.

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Length: 159 p.
Date of creation: 2003
Date of revision:
Publication status: Published in Journal of Econometrics (2003) v.v. 115, p.125-157
Handle: RePEc:ner:carlos:info:hdl:10016/4685

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Web page: http://www.uc3m.es

Related research

Keywords: Discrete choice; Panel data; Predetermined variables; Random effects; Labor force participation;

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  1. Rosenzweig, Mark R & Wolpin, Kenneth I, 1980. "Life-Cycle Labor Supply and Fertility: Causal Inferences from Household Models," Journal of Political Economy, University of Chicago Press, vol. 88(2), pages 328-48, April.
  2. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
  3. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
  4. Card, David & Sullivan, Daniel G, 1988. "Measuring the Effect of Subsidized Training Programs on Movements in and out of Employment," Econometrica, Econometric Society, vol. 56(3), pages 497-530, May.
  5. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
  6. Moon, Choon-Geol & Stotsky, Janet G, 1993. "The Effect of Rent Control on Housing Quality Change: A Longitudinal Analysis," Journal of Political Economy, University of Chicago Press, vol. 101(6), pages 1114-48, December.
  7. 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.
  8. Bover, O. & Arellano, M. & Bentolila, S., 1997. "Unemployment Duration, Benefit Duration, and the Business Cycle," Papers 9717, Centro de Estudios Monetarios Y Financieros-.
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  10. Delgado, Miguel A. & Mora, Juan, . "Nonparametric and semiparametric estimation with discrete regressors," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3947, Universidad Carlos III de Madrid.
  11. Dean R. Hyslop, 1999. "State Dependence, Serial Correlation and Heterogeneity in Intertemporal Labor Force Participation of Married Women," Econometrica, Econometric Society, vol. 67(6), pages 1255-1294, November.
  12. Arellano, M. & Honore, B., 2000. "Panel Data Models: Some Recent Developments," Papers 0016, Centro de Estudios Monetarios Y Financieros-.
  13. Newey, Whitney K., 1994. "Kernel Estimation of Partial Means and a General Variance Estimator," Econometric Theory, Cambridge University Press, vol. 10(02), pages 1-21, June.
  14. Newey, Whitney K, 1994. "The Asymptotic Variance of Semiparametric Estimators," Econometrica, Econometric Society, vol. 62(6), pages 1349-82, November.
  15. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-62, March.
  16. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
  17. Browning, Martin, 1992. "Children and Household Economic Behavior," Journal of Economic Literature, American Economic Association, vol. 30(3), pages 1434-75, September.
  18. Bo E. Honoré & Ekaterini Kyriazidou, 2000. "Panel Data Discrete Choice Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 68(4), pages 839-874, July.
  19. Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 225-38, January.
  20. James J. Heckman, 1981. "Heterogeneity and State Dependence," NBER Chapters, in: Studies in Labor Markets, pages 91-140 National Bureau of Economic Research, Inc.
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