Fixed Effects Binary Choice Models: Estimation and Inference with Long Panels
Daniel Czarnowske and
Papers from arXiv.org
Empirical economists are often deterred from the application of fixed effects binary choice models mainly for two reasons: the incidental parameter problem and the computational challenge even in moderately large panels. Using the example of binary choice models with individual and time fixed effects, we show how both issues can be alleviated by combining asymptotic bias corrections with computational advances. Because unbalancedness is often encountered in applied work, we investigate its consequences on the finite sample properties of various (bias corrected) estimators. In simulation experiments we find that analytical bias corrections perform particularly well, whereas split-panel jackknife estimators can be severely biased in unbalanced panels.
Date: 2019-04, Revised 2020-10
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1904.04217
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