论文标题
固定效果二进制选择模型具有三个或以上的时间
Fixed Effects Binary Choice Models with Three or More Periods
论文作者
论文摘要
我们考虑固定效果二进制选择模型，具有固定数量的$ t $和回归器，而没有大量支持。如果时间变化的未观察到的条款是I.I.D.使用已知的分布$ f $，\ cite {Chamberlain2010}表明，当且仅当$ f $是logistic时，可以确定通用斜率参数。但是，他只考虑了他的证明$ t = 2 $。我们表明，当$ f $属于包括logit分布的家庭时，可以识别结果的结果不会概括为$ t \ geq 3 $：可以识别出通用的坡度参数。识别基于条件力矩限制。在对协变量的限制下，这些时刻条件导致相对效应的点鉴定。如果$ t = 3 $并且温和的条件保持，则基于这些条件矩限制的GMM估计器达到了半参数效率限制。最后，我们通过重新审视Brender and Drazen（2008）来说明我们的方法。
We consider fixed effects binary choice models with a fixed number of periods $T$ and regressors without a large support. If the time-varying unobserved terms are i.i.d. with known distribution $F$, \cite{chamberlain2010} shows that the common slope parameter is point identified if and only if $F$ is logistic. However, he only considers in his proof $T=2$. We show that the result does not generalize to $T\geq 3$: the common slope parameter can be identified when $F$ belongs to a family including the logit distribution. Identification is based on a conditional moment restriction. Under restrictions on the covariates, these moment conditions lead to point identification of relative effects. If $T=3$ and mild conditions hold, GMM estimators based on these conditional moment restrictions reach the semiparametric efficiency bound. Finally, we illustrate our method by revisiting Brender and Drazen (2008).
