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Root- Consistent Estimation of a Panel Data Binary Response Model With Unknown Correlated Random Effects

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  • Songnian Chen
  • Jichun Si
  • Hanghui Zhang
  • Yahong Zhou

Abstract

In this article, we consider the estimation of a panel data binary response model with a weak restriction imposed on the individual specific effects. Our estimator is n$\sqrt{n}$-consistent and asymptotically normal under reasonable regularity conditions. Furthermore, we allow the error terms to be heteroscedastic over time. The proposed estimator has a closed form expression and thus is very easy to compute. Simulations and the empirical illustration demonstrate the usefulness of our proposed estimator.

Suggested Citation

  • Songnian Chen & Jichun Si & Hanghui Zhang & Yahong Zhou, 2017. "Root- Consistent Estimation of a Panel Data Binary Response Model With Unknown Correlated Random Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 559-571, October.
    • Handle: RePEc:taf:jnlbes:v:35:y:2017:i:4:p:559-571
    DOI: 10.1080/07350015.2015.1130635
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    1. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, December.
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    Cited by:

    1. Xin, Kai & Zhang, ZhengYu & Zhou, YaHong & Zhu, PingFang, 2021. "Time-varying individual effects in a panel data probit model with an application to female labor force participation," Economic Modelling, Elsevier, vol. 95(C), pages 181-191.
    2. Laura Liu & Alexandre Poirier & Ji-Liang Shiu, 2021. "Identification and Estimation of Partial Effects in Nonlinear Semiparametric Panel Models," Papers 2105.12891, arXiv.org, revised Dec 2023.

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