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Root-N consistent estimations of time dummies for the dynamic fixed effects logit models: Monte Carlo illustrations

Author

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  • Yoshitsugu Kitazawa

    (Faculty of Economics, Kyushu Sangyo University)

Abstract

This paper illustrates the feasibility of the root-N consistent estimations of time dummies for both dynamic fixed effects logit models with strictly exogenous continuous explanatory variables and with no explanatory variable by using some Monte Carlo experiments. The illustrations not only imply the direct rebuttal to the generalization of Hahn fs (2001) suggestion, but also pave the way for fathoming the time effects in dynamic binary choice panel data models in a breeze.

Suggested Citation

  • Yoshitsugu Kitazawa, 2016. "Root-N consistent estimations of time dummies for the dynamic fixed effects logit models: Monte Carlo illustrations," Discussion Papers 72, Kyushu Sangyo University, Faculty of Economics.
    • Handle: RePEc:kyu:dpaper:72
    as

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    File URL: http://www.ip.kyusan-u.ac.jp/keizai-kiyo/dp72.pdf
    File Function: First version, 2016
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Hahn, Jinyong, 2001. "The Information Bound Of A Dynamic Panel Logit Model With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 17(5), pages 913-932, October.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Kevin Dano, 2023. "Transition Probabilities and Moment Restrictions in Dynamic Fixed Effects Logit Models," Papers 2303.00083, arXiv.org, revised Dec 2023.
    2. Yoshitsugu Kitazawa, 2017. "DFEL-RTN, a set of TSP programs for root-N consistent estimations of dynamic fixed effects logit models," Discussion Papers 81, Kyushu Sangyo University, Faculty of Economics.
    3. Bo E Honoré & Áureo de Paula, 2021. "Identification in simple binary outcome panel data models," The Econometrics Journal, Royal Economic Society, vol. 24(2), pages 78-93.
    4. Hugo Kruiniger, 2021. "Root-n-consistent Conditional ML estimation of dynamic panel logit models with fixed effects," Papers 2103.04973, arXiv.org, revised Apr 2021.

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    More about this item

    Keywords

    dynamic fixed effects logit models; time dummies; root-N consistent GMM estimators; Monte Carlo;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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