Semiparametric least squares estimation of binary choice panel data models with endogeneity

Anastasia Semykina, Yimeng Xie, Cynthia Fan Yang and Qiankun Zhou

Economic Modelling, 2024, vol. 132, issue C

Abstract: This paper investigates the estimation of binary response panel data models with endogenous regressors using semiparametric least squares. The endogeneity arises from an unobserved time-invariant effect and a nonzero correlation between the idiosyncratic error and one or more explanatory variables. Our proposed estimator addresses endogeneity by the correlated random effects and control function approaches. The estimator is shown to be asymptotically normally distributed and to have satisfactory finite sample properties in Monte Carlo experiments. The method’s utility is demonstrated through an empirical application that examines the effect of a husband’s income on the labor force participation of married women.

Keywords: Panel data; Binary response model; Correlated random effects; Endogeneity; Semiparametric estimation; Control function approach (search for similar items in EconPapers)
JEL-codes: C01 C14 C23 C25 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000178

DOI: 10.1016/j.econmod.2024.106661

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