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Binary response correlated random coefficient panel data models

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  • Gao, Yichen
  • Li, Cong
  • Liang, Zhongwen

Abstract

In this paper, we consider binary response correlated random coefficient (CRC) panel data models which are frequently used in the analysis of treatment effects and demand of products. We focus on the nonparametric identification and estimation of panel data models under unobserved heterogeneity which is captured by random coefficients and when these random coefficients are correlated with regressors. Our identification conditions and estimation are based on the framework of the model with a special regressor, which is a novel approach proposed by Lewbel (1998, 2000) to solve the heterogeneity and endogeneity problem in the binary response models. With the help of the additional information on the special regressor, we can transform a binary response CRC model to a linear moment relation. We also construct a semiparametric estimator for the average slopes and derive the n-normality result. Further, we propose a nonparametric method to test the correlations between random coefficients and regressors. Simulations are given to show the finite sample performance of our estimators and test statistics.

Suggested Citation

  • Gao, Yichen & Li, Cong & Liang, Zhongwen, 2015. "Binary response correlated random coefficient panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 421-434.
    • Handle: RePEc:eee:econom:v:188:y:2015:i:2:p:421-434
    DOI: 10.1016/j.jeconom.2015.03.008
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    Cited by:

    1. Xue, Sen & Yang, Thomas Tao & Zhou, Qiankun, 2018. "Binary choice model with interactive effects," Economic Modelling, Elsevier, vol. 70(C), pages 338-350.

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    More about this item

    Keywords

    Random coefficient; Binary choice; Nonparametric; Panel data; Specification test;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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