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Consistent estimation of discrete-choice models for panel data with multiplicative effects

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Author Info
Alban Thomas () (LEERNA-INRA, Université des Sciences Sociales de Toulouse)

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Abstract

This 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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Paper 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.

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Date of creation: Mar 2002
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Handle: RePEc:cpd:pd2002:d6-2

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  1. Bo E. Honore & Arthur Lewbel, 2002. "Semiparametric Binary Choice Panel Data Models Without Strictly Exogeneous Regressors," Econometrica, Econometric Society, vol. 70(5), pages 2053-2063, September. [Downloadable!] (restricted)
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  2. Arellano, M., 2001. "Discrete Choices with Panel Data," Papers 0101, Centro de Estudios Monetarios Y Financieros-.
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  3. Lancaster, Tony, 2002. "Orthogonal Parameters and Panel Data," Review of Economic Studies, Blackwell Publishing, vol. 69(3), pages 647-66, July.
  4. Hsiao, C., 1992. "Logit and Probit Models," Papers 9210, Southern California - Department of Economics.
  5. Thierry Magnac, 2002. "Binary variables and fixed effects: generalizing conditional logit," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 D6-4, International Conferences on Panel Data. [Downloadable!]
  6. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November. [Downloadable!] (restricted)
  7. Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter, 2001. "GMM estimation of linear panel data models with time-varying individual effects," Journal of Econometrics, Elsevier, vol. 101(2), pages 219-255, April. [Downloadable!] (restricted)
  8. Céline Nauges & Alban Thomas, 2003. "Consistent estimation of dynamic panel data models with time-varying individual effects," Annales d'Economie et de Statistique, ADRES, issue 70, pages 03, Avril-Jui. [Downloadable!]
  9. Bertschek, Irene & Lechner, Michael, 1998. "Convenient estimators for the panel probit model," Journal of Econometrics, Elsevier, vol. 87(2), pages 329-371, September. [Downloadable!] (restricted)
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  10. Crepon, Bruno & Kramarz, Francis & Trognon, Alain, 1997. "Parameters of interest, nuisance parameters and orthogonality conditions An application to autoregressive error component models," Journal of Econometrics, Elsevier, vol. 82(1), pages 135-156. [Downloadable!] (restricted)
  11. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July. [Downloadable!] (restricted)
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  1. Lechner, Michael & Lollivier, Stefan & Magnac, Thierry, 2005. "Parametric Binary Choice Models," IDEI Working Papers 398, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
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