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An alternative root-n consistent estimator for panel data binary choice models

Listed author(s):
  • Ai, Chunrong
  • Gan, Li
Registered author(s):

In this paper, we present an alternative root-n consistent estimator for panel data fixed-effects binary choice models. The proposed estimator relaxes one of the key conditions that are required for the consistency of the estimator proposed in Honoré and Lewbel (2002), and is shown to be consistent and asymptotically normally distributed under some sufficient conditions. An easy to compute consistent estimator for the asymptotic covariance is provided.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(09)00272-3
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 157 (2010)
Issue (Month): 1 (July)
Pages: 93-100

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Handle: RePEc:eee:econom:v:157:y:2010:i:1:p:93-100
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Xiaohong Chen & Xiaotong Shen, 1998. "Sieve Extremum Estimates for Weakly Dependent Data," Econometrica, Econometric Society, vol. 66(2), pages 289-314, March.
  2. Ai, Chunrong & Chen, Xiaohong, 2007. "Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables," Journal of Econometrics, Elsevier, vol. 141(1), pages 5-43, November.
  3. 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.
  4. Chamberlain, G., 1993. "Feedback in Panel Data Medels," Harvard Institute of Economic Research Working Papers 1656, Harvard - Institute of Economic Research.
  5. Hahn, Jinyong, 2001. "The Information Bound Of A Dynamic Panel Logit Model With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 17(05), pages 913-932, October.
  6. Lee, Myoung-jae, 2001. "First-difference estimator for panel censored-selection models," Economics Letters, Elsevier, vol. 70(1), pages 43-49, January.
  7. Jinyong Hahn & Whitney Newey, 2003. "Jackknife and analytical bias reduction for nonlinear panel models," CeMMAP working papers CWP17/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November.
  9. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-362, March.
  10. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
  11. 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.
  12. Chunrong Ai, 1997. "A Semiparametric Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 65(4), pages 933-964, July.
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