Fixed Effects Binary Choice Models with Three or More Periods
报告人：Xavier D'Haultfœuille, CREST-ENSAE
Abstract: We consider fixed effects binary choice models with a fixed number of periods T and without a large support condition on the regressors. If the time-varying unobserved terms are i.i.d. with known distribution F, Chamberlain (2010) shows that the common slope parameter is point-identified if and only if F is logistic. However, he considers in his proof only T = 2. We show that actually, the result does not generalize to T ≥ 3: the common slope parameter and some parameters of the distribution of the shocks can be identified when F belongs to a family including the logit distribution. Identification is based on a conditional moment restriction. We give necessary and sufficient conditions on the covariates for this restriction to identify the parameters. In addition, we show that under mild conditions, the corresponding GMM estimator reaches the semiparametric efficiency bound when T = 3.
Bio: Xavier D'Haultfœuille is Professor in economics at CREST-ENSAE. He obtained PhD in Economics at Paris I and CREST in 2009. His research interests include Econometric theory, empirical industrial organization, and labor economics. He has been awarded Dennis J. Aigner Award for the best applied paper published in Journal of Econometrics between 2013 and 2014, and Malinvaud Prize for the best paper published in 2018 by a young economist working in France. He used to be the director of the Labex Ecodec, Associate editor for the Review of Economic Studies, Econometrics Journal, Econometric Theory, Annals of Economics and Statistics, and co-editor of Annals of Economics and Statistics.
His personal website https://faculty.crest.fr/xdhaultfoeuille/.
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