Consistent estimation of binary-choice panel data models with heterogeneous linear trends

Type Journal Article - The Econometrics Journal
Title Consistent estimation of binary-choice panel data models with heterogeneous linear trends
Author(s)
Volume 9
Issue 2
Publication (Day/Month/Year) 2006
Page numbers 177-195
URL https://ideas.repec.org/a/ect/emjrnl/v9y2006i2p177-195.html
Abstract
Summary  This paper presents an extension of fixed effects binary choice models for panel data, to the case of heterogeneous linear trends. Two estimators are proposed: a Logit estimator based on double conditioning and a semiparametric, smoothed maximum score estimator based on double differences. We investigate small-sample properties of these estimators with a Monte Carlo simulation experiment, and compare their statistical properties with standard fixed effects procedures. An empirical application to land renting decisions of Russian households between 1996 and 2002 is proposed.

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