Endogeneity in Semiparametric Panel Binary Choice Model

In this paper, we study estimation of a semiparametric panel binary choice model with fixed-effects and continuous endogenous regressors. The proposed procedure combines the smoothed maximum score approach with the control function approach and allows for a fixed effect nonparametric first stage reg...

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Veröffentlicht in:Econometric reviews 2015-05, Vol.34 (6-10), p.799-827
Hauptverfasser: Ai, Chunrong, Meng, Meixia
Format: Artikel
Sprache:eng
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Zusammenfassung:In this paper, we study estimation of a semiparametric panel binary choice model with fixed-effects and continuous endogenous regressors. The proposed procedure combines the smoothed maximum score approach with the control function approach and allows for a fixed effect nonparametric first stage regression. Under some sufficient conditions, we show that the proposed estimator for the finite dimensional parameter is consistent and asymptotically normally distributed. A small scale simulation study demonstrates that the proposed procedure has some practical value.
ISSN:0747-4938
1532-4168
DOI:10.1080/07474938.2014.956589