IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2610.17104.html

Dynamic Panel Multinomial Logit Models

Author

Listed:
  • Kevin Dano
  • Bo E. Honor'e
  • Martin Weidner

Abstract

This paper provides moment conditions for dynamic multinomial logit panel data models with individual specific fixed effects. The moment conditions do not depend on the fixed effects and thus form the basis for generalized method of moments estimation. For a leading case, we provide sufficient conditions under which the moment conditions identify the common parameters, and we illustrate their use in an empirical application to household soft drink purchases. The construction of moment conditions is based on transformed models obtained by permuting outcomes across time periods. For any cyclic permutation, the ratio of the transformed model probability to the true model probability is free of the fixed effects, and comparing two such ratios yields restrictions on the common parameters of interest. This construction is not specific to the multinomial logit. It applies to any dynamic panel data model whose static counterpart admits a symmetric sufficient statistic for the fixed effects. This unifies our main result with analogous results for other models.

Suggested Citation

  • Kevin Dano & Bo E. Honor'e & Martin Weidner, 2026. "Dynamic Panel Multinomial Logit Models," Papers 2610.17104, arXiv.org.
    • Handle: RePEc:arx:papers:2610.17104
    as

    Download full text from publisher

    File URL: https://arxiv.org/pdf/2610.17104
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Luojia Hu, 2002. "Estimation of a Censored Dynamic Panel Data Model," Econometrica, Econometric Society, vol. 70(6), pages 2499-2517, November.
    2. Jean‐Pierre Dubé & Günter J. Hitsch & Peter E. Rossi, 2010. "State dependence and alternative explanations for consumer inertia," RAND Journal of Economics, RAND Corporation, vol. 41(3), pages 417-445, September.
    3. Joshua E Blumenstock & Guanghua Chi & Xu Tan, 2025. "Migration and the Value of Social Networks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 92(1), pages 97-128.
    4. Benjamin R. Handel, 2013. "Adverse Selection and Inertia in Health Insurance Markets: When Nudging Hurts," American Economic Review, American Economic Association, vol. 103(7), pages 2643-2682, December.
    5. Ariel Pakes & Jack R. Porter & Mark Shepard & Sophie Calder-Wang, 2021. "Unobserved Heterogeneity, State Dependence, and Health Plan Choices," NBER Working Papers 29025, National Bureau of Economic Research, Inc.
    6. Kitazawa, Yoshitsugu, 2001. "Exponential regression of dynamic panel data models," Economics Letters, Elsevier, vol. 73(1), pages 7-13, October.
    7. Shakeeb Khan & Fu Ouyang & Elie Tamer, 2021. "Inference on semiparametric multinomial response models," Quantitative Economics, Econometric Society, vol. 12(3), pages 743-777, July.
    8. 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.
    9. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    10. Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 225-238.
    11. 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.
    12. Magnac, Thierry, 2000. "Subsidised Training and Youth Employment: Distinguishing Unobserved Heterogeneity from State Dependence in Labour Market Histories," Economic Journal, Royal Economic Society, vol. 110(466), pages 805-837, October.
    13. Ekaterini Kyriazidou, 2001. "Estimation of Dynamic Panel Data Sample Selection Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 68(3), pages 543-572.
    14. Bo E. Honoré & Chris Muris & Martin Weidner, 2025. "Dynamic ordered panel logit models," Quantitative Economics, Econometric Society, vol. 16(3), pages 899-945, July.
    15. Donald R. Davis & Jonathan I. Dingel & Joan Monras & Eduardo Morales, 2019. "How Segregated Is Urban Consumption?," Journal of Political Economy, University of Chicago Press, vol. 127(4), pages 1684-1738.
    16. Stéphane Bonhomme, 2012. "Functional Differencing," Econometrica, Econometric Society, vol. 80(4), pages 1337-1385, July.
    17. Kitazawa, Yoshitsugu, 2022. "Transformations and moment conditions for dynamic fixed effects logit models," Journal of Econometrics, Elsevier, vol. 229(2), pages 350-362.
    18. Chamberlain, Gary, 1992. "Sequential Moment Restrictions in Panel Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 20-26, January.
    19. Hahn, Jinyong, 1997. "A Note on the Efficient Semiparametric Estimation of Some Exponential Panel Models," Econometric Theory, Cambridge University Press, vol. 13(4), pages 583-588, February.
    20. Bo E Honoré & Martin Weidner, 2025. "Moment Conditions for Dynamic Panel Logit Models with Fixed Effects," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 92(5), pages 3112-3137.
    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. Bo E. Honoré & Chris Muris & Martin Weidner, 2025. "Dynamic ordered panel logit models," Quantitative Economics, Econometric Society, vol. 16(3), pages 899-945, July.
    2. Kevin Dano & Bo E. Honor'e & Martin Weidner, 2025. "Binary choice logit models with general fixed effects for panel and network data," Papers 2508.11556, arXiv.org.
    3. Bo E. Honoré & Luojia Hu & Ekaterini Kyriazidou & Martin Weidner, 2024. "Simultaneity in binary outcome models with an application to employment for couples," Advanced Studies in Theoretical and Applied Econometrics, in: Subal C. Kumbhakar & Robin C. Sickles & Hung-Jen Wang (ed.), Advances in Applied Econometrics, pages 741-777, Springer.
    4. Kevin Dano, 2023. "Transition Probabilities and Moment Restrictions in Dynamic Fixed Effects Logit Models," Papers 2303.00083, arXiv.org, revised Dec 2023.
    5. Victor Aguirregabiria & Jesus Carro, 2021. "Identification of Average Marginal Effects in Fixed Effects Dynamic Discrete Choice Models," Working Papers tecipa-701, University of Toronto, Department of Economics.
    6. Geert Dhaene & Martin Weidner, 2023. "Approximate functional differencing," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 14(3), pages 379-416, December.
    7. Khan, S. & Ponomareva, M. & Tamer, E., 2023. "Identification of dynamic binary response models," Journal of Econometrics, Elsevier, vol. 237(1).
    8. 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.
    9. Stéphane Bonhomme & Kevin Dano & Bryan S. Graham, 2025. "Moment restrictions for nonlinear panel data models with feedback," CeMMAP working papers 12/25, Institute for Fiscal Studies.
    10. St'ephane Bonhomme & Kevin Dano & Bryan S. Graham, 2025. "Moment Restrictions for Nonlinear Panel Data Models with Feedback," Papers 2506.12569, arXiv.org, revised Sep 2026.
    11. Lionel WILNER, 2019. "The Dynamics of Individual Happiness," Working Papers 2019-18, Center for Research in Economics and Statistics.
    12. 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.
    13. Irene Botosaru & Chris Muris & Senay Sokullu, 2022. "Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels," Department of Economics Working Papers 2022-01, McMaster University.
    14. Shakeeb Khan & Fu Ouyang & Elie Tamer, 2020. "Inference on Semiparametric Multinomial Response Models," Discussion Papers Series 627, School of Economics, University of Queensland, Australia.
    15. Andrew Chesher & Adam Rosen & Yuanqi Zhang, 2024. "Robust analysis of short panels," IFS Working Papers WCWP01/24, Institute for Fiscal Studies.
    16. Gao, Wayne Yuan & Wang, Rui, 2026. "Identification in nonlinear dynamic panel models under partial stationarity," Journal of Econometrics, Elsevier, vol. 253(C).
    17. Jeffrey M. Wooldridge, 2005. "Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 39-54, January.
    18. Sergi Jiménez-Martín & José María Labeaga, 2016. "Monte Carlo evidence on the estimation of AR(1) panel data sample selection models," Working Papers 2016-01, FEDEA.
    19. Yoshitsugu Kitazawa, 2013. "Exploration of dynamic fixed effects logit models from a traditional angle," Discussion Papers 60, Kyushu Sangyo University, Faculty of Economics.
    20. Sergi Jiménez-Martín & José M. Labeaga & Majid al Sadoon, 2020. "Consistent estimation of panel data sample selection models," Working Papers 2020-06, FEDEA.

    More about this item

    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:2610.17104. 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.