IDEAS home Printed from https://ideas.repec.org/p/kyu/dpaper/43.html
   My bibliography  Save this paper

A hyperbolic transformation for a fixed effects logit model

Author

Listed:
  • Yoshitsugu Kitazawa

    (Faculty of Economics, Kyushu Sangyo University)

Abstract

In this paper, a simple transformation is proposed for the fixed effects logit model, using which some valid moment conditions including the first-order condition for one of the conditional MLE proposed by Chamberlain (1980) can be generated. Some Monte Carlo experiments are carried out for the GMM estimator based on the transformation.

Suggested Citation

  • Yoshitsugu Kitazawa, 2010. "A hyperbolic transformation for a fixed effects logit model," Discussion Papers 43, Kyushu Sangyo University, Faculty of Economics.
    • Handle: RePEc:kyu:dpaper:43
    as

    Download full text from publisher

    File URL: http://www.ip.kyusan-u.ac.jp/keizai-kiyo/dp43.pdf
    File Function: First version, 2010
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Bo E. Honoré & Ekaterini Kyriazidou, 2000. "Panel Data Discrete Choice Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 68(4), pages 839-874, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Berthélemy Michel & Bonev Petyo & Dussaux Damien & Söderberg Magnus, 2019. "Methods for strengthening a weak instrument in the case of a persistent treatment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-30, February.
    2. Lia Pacelli & Silvia Pasqua & Claudia Villosio, 2007. "What Does the Stork Bring to Women’s Working Career?," LABORatorio R. Revelli Working Papers Series 58, LABORatorio R. Revelli, Centre for Employment Studies.
    3. Joseph G. Altonji & Rosa L. Matzkin, 2001. "Panel Data Estimators for Nonseparable Models with Endogenous Regressors," NBER Technical Working Papers 0267, National Bureau of Economic Research, Inc.
    4. Richard Duhautois & Christine Erhel & Mathilde Guergoat-Larivière, 2018. "State Dependence and Labor Market Transitions in the European Union," Annals of Economics and Statistics, GENES, issue 131, pages 59-82.
    5. Hoderlein, Stefan & White, Halbert, 2012. "Nonparametric identification in nonseparable panel data models with generalized fixed effects," Journal of Econometrics, Elsevier, vol. 168(2), pages 300-314.
    6. Troske, Kenneth R. & Voicu, Alexandru, 2010. "Joint estimation of sequential labor force participation and fertility decisions using Markov chain Monte Carlo techniques," Labour Economics, Elsevier, vol. 17(1), pages 150-169, January.
    7. Maximilian Riedl & Ingo Geishecker, 2014. "Keep it simple: estimation strategies for ordered response models with fixed effects," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(11), pages 2358-2374, November.
    8. Carlo Altomonte & Enrico Pennings, 2003. "Oligopolistic Reaction to Foreign Investment in Discrete Choice Panel Data Models," Working Papers 243, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    9. Matthieu Bussière, 2013. "Balance of payment crises in emerging markets: how early were the ‘early’ warning signals?," Applied Economics, Taylor & Francis Journals, vol. 45(12), pages 1601-1623, April.
    10. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
    11. repec:hal:wpspec:info:hdl:2441/3vl5fe4i569nbr005tctlc8ll5 is not listed on IDEAS
    12. Cheng Hsiao, 2007. "Panel data analysis—advantages and challenges," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(1), pages 1-22, May.
    13. Taisuke Otsu & Myung Hwan Seo, 2014. "Asymptotics for maximum score method under general conditions," STICERD - Econometrics Paper Series 571, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    14. Shiu, Ji-Liang & Hu, Yingyao, 2013. "Identification and estimation of nonlinear dynamic panel data models with unobserved covariates," Journal of Econometrics, Elsevier, vol. 175(2), pages 116-131.
    15. Ana-Maria Fuertes & Elena Kalotychou, 2004. "Forecasting sovereign default using panel models: A comparative analysis," Computing in Economics and Finance 2004 228, Society for Computational Economics.
    16. Lionel WILNER, 2019. "The Dynamics of Individual Happiness," Working Papers 2019-18, Center for Research in Economics and Statistics.
    17. Fabio Berton & Francesco Devicienti & Lia Pacelli, 2007. "Temporary jobs: Port of entry, Trap, or just Unobserved Heterogeneity?," LABORatorio R. Revelli Working Papers Series 68, LABORatorio R. Revelli, Centre for Employment Studies.
    18. Guevara, C. Angelo & Tang, Yue & Gao, Song, 2018. "The initial condition problem with complete history dependency in learning models for travel choices," Transportation Research Part B: Methodological, Elsevier, vol. 117(PB), pages 850-861.
    19. Sanchez-Bueno, Maria J. & Usero, Belen, 2014. "How may the nature of family firms explain the decisions concerning international diversification?," Journal of Business Research, Elsevier, vol. 67(7), pages 1311-1320.
    20. M. Dahchour & G. Dionne, 2002. "Pricing of Automobile Insurance Under Asymmetric Information : a Study on Panel Data," THEMA Working Papers 2002-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    21. Aguirregabiria, Victor & Gu, Jiaying & Luo, Yao, 2021. "Sufficient statistics for unobserved heterogeneity in structural dynamic logit models," Journal of Econometrics, Elsevier, vol. 223(2), pages 280-311.

    More about this item

    Keywords

    fixed effects logit; conditional logit estimator; hyperbolic transformation; moment conditions; GMM; Monte Carlo experiments;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kyu:dpaper:43. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Yoshitsugu Kitazawa (email available below). General contact details of provider: https://edirc.repec.org/data/feksujp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.