IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2604.24150.html

Linear estimations of dynamic fixed effects logit models only with time effects

Author

Listed:
  • Yoshitsugu Kitazawa

Abstract

This paper proposes linear estimation methods for dynamic fixed effects logit models only with time effects (i.e., those only with time dummies and only with time trends). The linear estimators point-identify transformations of parameters of interest for the models if five or more time periods are provided and then point-identify the parameters of interest. What it boils down to is that root-N consistent estimations are attainable for these models. Monte Carlo results corroborate this conclusion.

Suggested Citation

  • Yoshitsugu Kitazawa, 2026. "Linear estimations of dynamic fixed effects logit models only with time effects," Papers 2604.24150, arXiv.org.
    • Handle: RePEc:arx:papers:2604.24150
    as

    Download full text from publisher

    File URL: https://arxiv.org/pdf/2604.24150
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ruud, Paul A., 2000. "An Introduction to Classical Econometric Theory," OUP Catalogue, Oxford University Press, number 9780195111644.
    2. Bo E. Honoré & Elie Tamer, 2006. "Bounds on Parameters in Panel Dynamic Discrete Choice Models," Econometrica, Econometric Society, vol. 74(3), pages 611-629, May.
    3. 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.
    4. Newey, Whitney K., 1984. "A method of moments interpretation of sequential estimators," Economics Letters, Elsevier, vol. 14(2-3), pages 201-206.
    5. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
    6. Gu, Jiaying & Hahn, Jinyong & Kim, Kyoo Il, 2023. "The Information Bound Of A Dynamic Panel Logit Model With Fixed Effects — Corrigendum," Econometric Theory, Cambridge University Press, vol. 39(1), pages 219-219, February.
    7. Kitazawa, Yoshitsugu, 2022. "Transformations and moment conditions for dynamic fixed effects logit models," Journal of Econometrics, Elsevier, vol. 229(2), pages 350-362.
    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. Yoshitsugu Kitazawa, 2026. "Linear estimations of dynamic fixed effects logit models only with time effects," Discussion Papers 87, Kyushu Sangyo University, Faculty of Economics.
    2. Kevin Dano, 2023. "Transition Probabilities and Moment Restrictions in Dynamic Fixed Effects Logit Models," Papers 2303.00083, arXiv.org, revised Dec 2023.
    3. 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.
    4. D'Addio, Anna Cristina & Honoré, Bo E., 2010. "Duration Dependence and Timevarying Variables in Discrete Time Duration Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(2), December.
    5. Bartolucci, Francesco & Nigro, Valentina, 2012. "Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data," Journal of Econometrics, Elsevier, vol. 170(1), pages 102-116.
    6. Fu Ouyang & Thomas Tao Yang, 2020. "Semiparametric Estimation of Dynamic Binary Choice Panel Data Models," ANU Working Papers in Economics and Econometrics 2020-671, Australian National University, College of Business and Economics, School of Economics.
    7. Bo E. Honoré & Martin Weidner, 2020. "Moment Conditions for Dynamic Panel Logit Models with Fixed Effects," CeMMAP working papers CWP38/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Timothy Halliday, 2007. "Testing for State Dependence with Time-Variant Transition Probabilities," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 685-703.
    9. Christopher Dobronyi & Jiaying Gu & Kyoo il Kim & Thomas M. Russell, 2021. "Identification of Dynamic Panel Logit Models with Fixed Effects," Papers 2104.04590, arXiv.org, revised Apr 2026.
    10. Christopher R. Dobronyi & Fu Ouyang & Thomas Tao Yang, 2023. "Revisiting Panel Data Discrete Choice Models with Lagged Dependent Variables," Papers 2301.09379, arXiv.org, revised Aug 2024.
    11. Sukgyu Shin, 2025. "Sufficient Statistics for Markovian Feedback Processes and Unobserved Heterogeneity in Dynamic Panel Logit Models," Papers 2511.02816, arXiv.org, revised Apr 2026.
    12. Fu Ouyang & Thomas Tao Yang, 2020. "Semiparametric Estimation of Dynamic Binary Choice Panel Data Models," Discussion Papers Series 626, School of Economics, University of Queensland, Australia.
    13. Fu Ouyang & Thomas Tao Yang, 2022. "Semiparametric Estimation of Dynamic Binary Choice Panel Data Models," Papers 2202.12062, arXiv.org, revised Feb 2024.
    14. Claus Brand & Daniel Buncic & Jarkko Turunen, 2010. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Journal of the European Economic Association, MIT Press, vol. 8(6), pages 1266-1298, December.
    15. repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09ij4j0h0h1 is not listed on IDEAS
    16. Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol, 2014. "Asymmetric adjustment toward optimal capital structure: Evidence from a crisis," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 226-242.
    17. 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.
    18. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric Estimation With Generated Covariates," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1140-1177, October.
    19. Bryan S. Graham, 2016. "Homophily and transitivity in dynamic network formation," CeMMAP working papers CWP16/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    20. Laurent Davezies & Xavier D'Haultf{oe}uille & Louise Laage, 2021. "Identification and Estimation of Average Causal Effects in Fixed Effects Logit Models," Papers 2105.00879, arXiv.org, revised Dec 2024.
    21. Prokhorov, Artem & Schmidt, Peter, 2009. "GMM redundancy results for general missing data problems," Journal of Econometrics, Elsevier, vol. 151(1), pages 47-55, July.

    More about this item

    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:arx:papers:2604.24150. 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: arXiv administrators (email available below). General contact details of provider: https://arxiv.org/ .

    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.