Advanced Search
MyIDEAS: Login to save this article or follow this journal

The Information Bound Of A Dynamic Panel Logit Model With Fixed Effects

Contents:

Author Info

  • Hahn, Jinyong
Registered author(s):

    Abstract

    In this paper, I calculate the semiparametric information bound in two dynamic panel data logit models with individual specific effects. In such a model without any other regressors, it is well known that the conditional maximum likelihood estimator yields a n-consistent estimator. In the case where the model includes strictly exogenous continuous regressors, Honor and Kyriazidou (2000, Econometrica 68, 839 874) suggest a consistent estimator whose rate of convergence is slower than n. Information bounds calculated in this paper suggest that the conditional maximum likelihood estimator is not efficient for models without any other regressor and that n-consistent estimation is infeasible in more general models.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://journals.cambridge.org/abstract_S0266466601175031
    File Function: link to article abstract page
    Download Restriction: no

    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 17 (2001)
    Issue (Month): 05 (October)
    Pages: 913-932

    as in new window
    Handle: RePEc:cup:etheor:v:17:y:2001:i:05:p:913-932_17

    Contact details of provider:
    Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
    Fax: +44 (0)1223 325150
    Web page: http://journals.cambridge.org/jid_ECTProvider-Email:journals@cambridge.org

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Carro, Jesus M., 2007. "Estimating dynamic panel data discrete choice models with fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 503-528, October.
    2. Yoshitsugu Kitazawa, 2013. "Exploration of dynamic fixed effects logit models from a traditional angle," Discussion Papers 60, Kyushu Sangyo University, Faculty of Economics.
    3. Shiu, Ji-Liang & Hu, Yingyao, 2013. "Identification and estimation of nonlinear dynamic panel data models with unobserved covariates," Journal of Econometrics, Elsevier, vol. 175(2), pages 116-131.
    4. Timothy J. Halliday, 2006. "Testing for State Dependence with Time-Variant Transition Probabilities," Working Papers 200614, University of Hawaii at Manoa, Department of Economics.
    5. Bartolucci, Francesco & Nigro, Valentina, 2012. "Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data," Journal of Econometrics, Elsevier, vol. 170(1), pages 102-116.
    6. Manuel Arellano & Jinyong Hahn, 2005. "Understanding Bias In Nonlinear Panel Models: Some Recent Developments," Working Papers wp2005_0507, CEMFI.
    7. Ambra Poggi & Matteo G. Richiardi, 2012. "Imputing Individual Effects in Dynamic Microsimulation Models.An application of the Rank Method," LABORatorio R. Revelli Working Papers Series 124, LABORatorio R. Revelli, Centre for Employment Studies.
    8. Sheng-Kai Chang, 2014. "Simulation Estimation of Dynamic Panel Discrete Choice Models Using the $$t$$ t Distributions," Computational Economics, Society for Computational Economics, vol. 43(4), pages 395-409, April.
    9. Timothy Halliday, 2006. "Identifying State Dependence in Non-Stationary Processes," Working Papers 200601, University of Hawaii at Manoa, Department of Economics.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:17:y:2001:i:05:p:913-932_17. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.