EconPapers    
Economics at your fingertips  
 

Binary Choice Models with High-Dimensional Individual and Time Fixed Effects

Daniel Czarnowske and Amrei Stammann

Papers from arXiv.org

Abstract: Empirical economists are often deterred from the application of binary choice models with fixed effects mainly for two reasons: the incidental parameter bias and the computational challenge in (moderately) large data sets. We show how both issues can be alleviated in the context of binary choice models with individual and time fixed effects. Thanks to several bias-corrections proposed by Fernandez-Val and Weidner (2016), the incidental parameter bias can be reduced substantially. In order to make the estimation feasible even in panels with many fixed effects, we develop an efficient software routine, embedded in the R -package alpaca, that combines these corrections with an approach called method of alternating projections. Further, we contribute to the existing literature by conducting extensive simulation experiments in large and even unbalanced panel settings. Finally, we estimate a dynamic probit model, to study the inter-temporal labor force participation of women in Germany.

New Economics Papers: this item is included in nep-dcm and nep-ecm
Date: 2019-04
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1904.04217 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1904.04217

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-05-02
Handle: RePEc:arx:papers:1904.04217