关键词: 二元面板, 截面相关, 条件Logit, Copula函数

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.

Key words: Binary Choice Panel Data, Cross-Sectional Dependence, Conditional Logit, Copula Function