Fixed Effects Binary Choice Models: Estimation and Inference with Long Panels

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Tác giả: Daniel Czarnowske, Amrei Stammann

Ngôn ngữ: eng

Ký hiệu phân loại: 001.434 Experimental method

Thông tin xuất bản: 2019

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Bộ sưu tập: Metadata

ID: 162773

Comment: Previous title: Binary Choice Models with High-Dimensional Individual and Time Fixed EffectsEmpirical economists are often deterred from the application of fixed effects binary choice models mainly for two reasons: the incidental parameter problem and the computational challenge even in moderately large panels. Using the example of binary choice models with individual and time fixed effects, we show how both issues can be alleviated by combining asymptotic bias corrections with computational advances. Because unbalancedness is often encountered in applied work, we investigate its consequences on the finite sample properties of various (bias corrected) estimators. In simulation experiments we find that analytical bias corrections perform particularly well, whereas split-panel jackknife estimators can be severely biased in unbalanced panels.
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