Distribution Free Estimation of Spatial Autoregressive Binary Choice Panel Data Models

Arduini, Tiziano (2016) Distribution Free Estimation of Spatial Autoregressive Binary Choice Panel Data Models. Bologna: Dipartimento di Scienze economiche DSE, p. 30. DOI 10.6092/unibo/amsacta/4501. In: Quaderni - Working Paper DSE (1052). ISSN 2282-6483.
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Abstract

This paper proposes a semiparametric estimator for spatial autoregressive (SAR) binary choice models in the context of panel data with fixed effects. The estimation procedure is based on the observational equivalence between distribution free models with a conditional median restriction and parametric models (such as Logit/Probit) exhibiting (multiplicative) heteroskedasticity and autocorrelation. Without imposing any parametric structure on the error terms, we consider the semiparametric nonlinear least squares (NLLS) estimator for this model and analyze its asymptotic properties under spatial near-epoch dependence. The main advantage of our method over the existing estimators is that it consistently estimates choice probabilities. The finite-dimensional estimator is shown to be consistent and root-n asymptotically normal under some reasonable conditions. Finally, a Monte Carlo study indicates that the estimator performs quite well in finite samples.

Abstract
Tipologia del documento
Monografia (Working paper)
Autori
AutoreAffiliazioneORCID
Arduini, Tiziano
Parole chiave
Spatial Autoregressive Model, Binary Choice, Fixed Effects, Non-linear least squares, Semiparametric Estimation
Settori scientifico-disciplinari
ISSN
2282-6483
DOI
Data di deposito
28 Gen 2016 17:03
Ultima modifica
08 Mag 2017 13:09
URI

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