Consistent estimation of discrete-choice models for panel data with multiplicative effects
AbstractThis paper presents an extension to the fixed-effect Logit for panel-data discrete-choice models, where the error component structure is multiplicative (individual effects multiplied by time effects). In linear models with such an error-component structure as investigated by Ahn, Lee and Schmidt (2001), usual fixed-effect estimators are generally inconsistent. We propose a conditional Logit estimator based on a different sufficient statistic, for the case where multiplicative time effects are known. When not the case, we discuss the implementation of the Modified Profile Likelihood based on a transformation of incidental parameters. The last estimator is an extension of Honoré and Lewbel (2000) semiparametric estimator. We investigate small sample properties of these estimators with a Monte Carlo experiment.
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Bibliographic InfoPaper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number D6-2.
Date of creation: Mar 2002
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-04 (All new papers)
- NEP-DCM-2002-07-04 (Discrete Choice Models)
- NEP-ECM-2002-07-10 (Econometrics)
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