We consider the identification of state dependence in a dynamic Logit model with timevariant transition probabilities and an arbitrary distribution of the unobserved heterogeneity. We derive a simple result that allows us to test for the presence of state dependence in this model. Monte Carlo evidence suggests that this test has desirable properties even when there are some violations of the model’s assumptions. We also consider alternative tests for state dependence that will have desirable properties only when the transition probabilities do not depend on time and provide evidence that there is an "acceptable" range in which ignoring time-dependence does not matter too much. We conclude with an application to the Barker Hypothesis.
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Paper provided by University of Hawaii at Manoa, Department of Economics in its series Working Papers with number
200614.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Timothy Halliday, 2006.
"Income Risk and Health,"
Working Papers
200612, University of Hawaii at Manoa, Department of Economics.
[Downloadable!]
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Timothy J. Halliday, 2007.
"Income Risk and Health,"
Working Papers
200710, University of Hawaii at Manoa, Department of Economics.
[Downloadable!]
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