Endogeneity in Semiparametric Panel Binary Choice Model

Chunrong Ai and Meixia Meng

Econometric Reviews, 2015, vol. 34, issue 6-10, 799-827

Abstract: 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.

Date: 2015
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DOI: 10.1080/07474938.2014.956589

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