A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator
A model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of available covariates. The model is of quadratic exponential type and its structure closely resembles that of the dynamic logit model. However, it has the advantage of being easily estimable via conditional likelihood with at least two observations (further to an initial observation) and even in the presence of time dummies among the regressors. Copyright 2010 The Econometric Society.
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Volume (Year): 78 (2010)
Issue (Month): 2 (03)
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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.:
- Jeffrey M. Wooldridge, 2001.
"Econometric Analysis of Cross Section and Panel Data,"
MIT Press Books,
The MIT Press,
edition 1, volume 1, number 0262232197.
- Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588.
- Thierry Magnac, 2003.
"Panel Binary Variables and Sufficiency: Generalizing Conditional Logit,"
Research Unit Working Papers
0308, Laboratoire d'Economie Appliquee, INRA.
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- Bo E. Honoré & Elie Tamer, 2006. "Bounds on Parameters in Panel Dynamic Discrete Choice Models," Econometrica, Econometric Society, vol. 74(3), pages 611-629, 05.
- Dean R. Hyslop, 1999. "State Dependence, Serial Correlation and Heterogeneity in Intertemporal Labor Force Participation of Married Women," Econometrica, Econometric Society, vol. 67(6), pages 1255-1294, November.
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