Fixed Effects Binary Choice Models with Three or More Periods
| Autor: | Davezies, Laurent, D'Haultfoeuille, Xavier, Mugnier, Martin |
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| Rok vydání: | 2020 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | We consider fixed effects binary choice models with a fixed number of periods $T$ and regressors without a large support. If the time-varying unobserved terms are i.i.d. with known distribution $F$, \cite{chamberlain2010} shows that the common slope parameter is point identified if and only if $F$ is logistic. However, he only considers in his proof $T=2$. We show that the result does not generalize to $T\geq 3$: the common slope parameter can be identified when $F$ belongs to a family including the logit distribution. Identification is based on a conditional moment restriction. Under restrictions on the covariates, these moment conditions lead to point identification of relative effects. If $T=3$ and mild conditions hold, GMM estimators based on these conditional moment restrictions reach the semiparametric efficiency bound. Finally, we illustrate our method by revisiting Brender and Drazen (2008). Comment: Compared to v2, we have in particular added an application (Section 4) and we now discuss the case of unbalanced panel data (Section 3.2) |
| Databáze: | arXiv |
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