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

Songnian Chen, Jichun Si, Hanghui Zhang and Yahong Zhou

Journal of Business & Economic Statistics, 2017, vol. 35, issue 4, 559-571

Abstract: 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$\sqrt{n}$-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.

Date: 2017
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DOI: 10.1080/07350015.2015.1130635

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