• 论文 •

### 基于Copula的带截面相关固定效应二元选择面板模型估计

• 出版日期:2014-04-15 发布日期:2014-04-02

### Copula-Based Estimation for Binary-Choice Panel Models with Fixed Effect and Cross-Sectional Dependence

Bensan Han et al.

• Online:2014-04-15 Published:2014-04-02

Abstract: This paper proposes a method to estimate binary-choice panel models with fixed effect and cross-sectional dependence based on FGM family bivariates copula function. To construct copula-based likelihood functions, we estimate a common intercept in place of the heterogeneities after estimating the interested parameters with conditional Logit models. With these results, we can compute the general residuals and the correlation coefficients, and thus construct the copula-based likelihood functions. Monte Carlo simulation shows copula-based estimators have better convergence rate than classical conditional Logit estimators.