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Endogeneity in Semiparametric Panel Binary Choice Model

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  • Chunrong Ai
  • Meixia Meng

Abstract

In this paper, we study estimation of a semiparametric panel binary choice model with fixed-effects and continuous endogenous regressors. The proposed procedure combines the smoothed maximum score approach with the control function approach and allows for a fixed effect nonparametric first stage regression. Under some sufficient conditions, we show that the proposed estimator for the finite dimensional parameter is consistent and asymptotically normally distributed. A small scale simulation study demonstrates that the proposed procedure has some practical value.

Suggested Citation

  • Chunrong Ai & Meixia Meng, 2015. "Endogeneity in Semiparametric Panel Binary Choice Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 799-827, December.
    • Handle: RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:799-827
    DOI: 10.1080/07474938.2014.956589
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