An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects
AbstractThis paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be arbitrarily correlated with covariates. The model is of the exponential type. We derive moment conditions that enable us to eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM estimators that are consistent and asymptotically normally distributed at the root-N rate. We also study the conditional likelihood approach, which can only identify the effect of state dependence in our case. Monte Carlo experiments demonstrate the finite sample performance of our GMM estimators.
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Bibliographic InfoPaper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 7054.
Length: 52 pages
Date of creation: Nov 2012
Date of revision:
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Other versions of this item:
- Majid M. Al-Sadoon & Tong Li & M. Hashem Pesaran, 2012. "An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects," CESifo Working Paper Series 4033, CESifo Group Munich.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-22 (All new papers)
- NEP-DCM-2012-12-22 (Discrete Choice Models)
- NEP-ECM-2012-12-22 (Econometrics)
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