Semiparametric Least Squares Estimation of Binary Choice Panel Data Models with Endogeneity
Description
The replication package accompanying "Semiparametric Least Squares Estimation of Binary Choice Panel Data Models with Endogeneity", by Anastasia Semykina, Yimeng Xie, Cynthia Fan Yang, and Qiankun Zhou, January 2024
Files
Steps to reproduce
README file for the replication package accompanying "Semiparametric Least Squares Estimation of Binary Choice Panel Data Models with Endogeneity", by Anastasia Semykina, Yimeng Xie, Cynthia Fan Yang, and Qiankun Zhou, January 2024 This zip file contains two self-contained folders: `mc_programs` and `application`. Monte Carlo Simulations ======================= Open the `mc_programs` folder and run `mc_main.m` to produce the simulation results for the SLS, two-step Probit, and two-step 2SLS estimators, as presented in Tables 1 and 2. For the Blundell-Powell estimation results, run `mc_main_bp.R` and `mc_main_bp_bootstrap.R` to compute the estimates and bootstrap standard errors, and then run `sum_mc_bp_results.R` to summarize the results. Empirical Application ===================== Open the `application` folder and run `application_main1.do` to produce the summary statistics (Table 3), the reduced form regression and the Probit results (Table 4, columns 1-3), and generate Figure 1. To obtain the SLS results (Table 4, columns 4 and 5) and all the bootstrap standard errors, run `application_main2.m`. The `data` subfolder provides the data in both xlsx and mat formats. Please refer to the comments within the scripts for additional details.