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The identification of a mixture of first order binary Markov Chains

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  • Martin Browning

    ()

  • Jesús M. Carro

    ()

Abstract

Let S be the number of components in a finite discrete mixing distribution. We prove that the number of waves of panel being greater than or equal to 2S is a sufficient condition for global identification of a dynamic binary choice model in which all the parameters are heterogeneous. This model results in a mixture of S binary first order Markov Chains

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Bibliographic Info

Paper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we1117.

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Date of creation: Jan 2011
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Handle: RePEc:cte:werepe:we1117

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Keywords: Discrete choice; Markov processes; Global identification;

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  1. Martin Browning & Jesus M. Carro, 2009. "Dynamic binary outcome models with maximal heterogeneity," Economics Series Working Papers 426, University of Oxford, Department of Economics.
  2. Hiroyuki Kasahara & Katsumi Shimotsu, 2009. "Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices," Econometrica, Econometric Society, Econometric Society, vol. 77(1), pages 135-175, 01.
  3. Martin Browning & Jesus Carro, 2006. "Heterogeneity and Microeconometrics Modelling," CAM Working Papers 2006-03, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  4. Blundell,Richard & Newey,Whitney & Persson,Torsten (ed.), 2007. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521692106.
  5. Blundell,Richard & Newey,Whitney K. & Persson,Torsten (ed.), 2007. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521871532.
  6. Blundell,Richard & Newey,Whitney & Persson,Torsten (ed.), 2007. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521871549.
  7. Blundell,Richard & Newey,Whitney K. & Persson,Torsten (ed.), 2007. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521692090.
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Cited by:
  1. Browning, Martin & Carro, Jesus M., 2014. "Dynamic binary outcome models with maximal heterogeneity," Journal of Econometrics, Elsevier, Elsevier, vol. 178(2), pages 805-823.

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