Fixed‐effects binary choice models with three or more periods

Laurent Davezies, Xavier D'Haultfoeuille and Martin Mugnier

Quantitative Economics, 2023, vol. 14, issue 3, 1105-1132

Abstract: 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, Chamberlain (2010) 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 ≥ 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).

Date: 2023
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https://doi.org/10.3982/QE1991

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Working Paper: Fixed Effects Binary Choice Models with Three or More Periods (2022)
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