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

Autor:	Jichun Si, Songnian Chen, Yahong Zhou, Hanghui Zhang
Rok vydání:	2017
Předmět:	Statistics and Probability Economics and Econometrics Heteroscedasticity Binary response 05 social sciences Root (chord) Estimator Random effects model 01 natural sciences Consistent Estimation 010104 statistics & probability 0502 economics and business Statistics Applied mathematics 0101 mathematics Statistics Probability and Uncertainty Closed-form expression Social Sciences (miscellaneous) 050205 econometrics Mathematics Panel data
Zdroj:	Journal of Business & Economic Statistics. 35:559-571
ISSN:	1537-2707 0735-0015
DOI:	10.1080/07350015.2015.1130635
Popis:	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-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.
Databáze:	OpenAIRE
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