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Identification in a Binary Choice Panel Data Model with a Predetermined Covariate

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  • St'ephane Bonhomme
  • Kevin Dano
  • Bryan S. Graham

Abstract

We study identification in a binary choice panel data model with a single \emph{predetermined} binary covariate (i.e., a covariate sequentially exogenous conditional on lagged outcomes and covariates). The choice model is indexed by a scalar parameter $\theta$, whereas the distribution of unit-specific heterogeneity, as well as the feedback process that maps lagged outcomes into future covariate realizations, are left unrestricted. We provide a simple condition under which $\theta$ is never point-identified, no matter the number of time periods available. This condition is satisfied in most models, including the logit one. We also characterize the identified set of $\theta$ and show how to compute it using linear programming techniques. While $\theta$ is not generally point-identified, its identified set is informative in the examples we analyze numerically, suggesting that meaningful learning about $\theta$ may be possible even in short panels with feedback. As a complement, we report calculations of identified sets for an average partial effect, and find informative sets in this case as well.

Suggested Citation

  • St'ephane Bonhomme & Kevin Dano & Bryan S. Graham, 2023. "Identification in a Binary Choice Panel Data Model with a Predetermined Covariate," Papers 2301.05733, arXiv.org, revised Jul 2023.
  • Handle: RePEc:arx:papers:2301.05733
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    Cited by:

    1. St'ephane Bonhomme & Kevin Dano, 2023. "Functional Differencing in Networks," Papers 2307.11484, arXiv.org.
    2. Andrew Chesher & Adam M. Rosen & Yuanqi Zhang, 2024. "Robust Analysis of Short Panels," Papers 2401.06611, arXiv.org.

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