Consistent Estimation of Binary-Choice Panel Data Models with Heterogeneous Linear Trends

19 Pages Posted: 3 Jul 2006

See all articles by Alban Thomas

Alban Thomas

University of Toulouse 1 - Toulouse School of Economics (TSE); delete

Abstract

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.

Suggested Citation

Thomas, Alban and Thomas, Alban, Consistent Estimation of Binary-Choice Panel Data Models with Heterogeneous Linear Trends. Econometrics Journal, Vol. 9, No. 2, pp. 177-195, July 2006, Available at SSRN: https://ssrn.com/abstract=913499 or http://dx.doi.org/10.1111/j.1368-423X.2006.00181.x

University of Toulouse 1 - Toulouse School of Economics (TSE) ( email )

Place Anatole-France
Toulouse Cedex, F-31042
France

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