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An alternative root-n consistent estimator for panel data binary choice models

By Chunrong Ai and Li Gan

Abstract

In this paper, we present an alternative root-n consistent estimator for panel data fixed-effects binary choice models. The proposed estimator relaxes one of the key conditions that are required for the consistency of the estimator proposed in Honoré and Lewbel (2002), and is shown to be consistent and asymptotically normally distributed under some sufficient conditions. An easy to compute consistent estimator for the asymptotic covariance is provided.Binary choice Panel data Root-n consistency

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