Binary response correlated random coefficient panel data models

Yichen Gao

doi:10.1016/j.jeconom.2015.03.008

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Binary response correlated random coefficient panel data models

2015-10-01

PRE

DOI：10.1016/j.jeconom.2015.03.008

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Abstract

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In this paper, we consider binary response correlated random coefficient (CRC) panel data models which are frequently used in the analysis of treatment effects and demand of products. We focus on the nonparametric identification and estimation of panel data models under unobserved heterogeneity which is captured by random coefficients and when these random coefficients are correlated with regressors. Our identification conditions and estimation are based on the framework of the model with a special regressor, which is a novel approach proposed by Lewbel (1998, 2000) to solve the heterogeneity and endogeneity problem in the binary response models. With the help of the additional information on the special regressor, we can transform a binary response CRC model to a linear moment relation. We also construct a semiparametric estimator for the average slopes and derive the root n-normality result. Further, we propose a nonparametric method to test the correlations between random coefficients and regressors. Simulations are given to show the finite sample performance of our estimators and test statistics. (C) 2015 Elsevier B.V. All rights reserved.

Keywords:

Random coefficient

Binary choice

Nonparametric

Panel data

Specification test

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