Consistent estimation of discrete-choice models for panel data with multiplicative effects
This paper presents an extension to the fixed-effect Logit for panel-data discrete-choice models, where the error component structure is multiplicative (individual effects multiplied by time effects). In linear models with such an error-component structure as investigated by Ahn, Lee and Schmidt (2001), usual fixed-effect estimators are generally inconsistent. We propose a conditional Logit estimator based on a different sufficient statistic, for the case where multiplicative time effects are known. When not the case, we discuss the implementation of the Modified Profile Likelihood based on a transformation of incidental parameters. The last estimator is an extension of Honoré and Lewbel (2000) semiparametric estimator. We investigate small sample properties of these estimators with a Monte Carlo experiment.
|Date of creation:||Mar 2002|
|Date of revision:|
|Contact details of provider:|| |
References listed on IDEAS
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.:
- Lewbel, Arthur, 2000.
"Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables,"
Journal of Econometrics,
Elsevier, vol. 97(1), pages 145-177, July.
- Arthur Lewbel, 1999. "Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables," Boston College Working Papers in Economics 454, Boston College Department of Economics.
- Bo E. Honore & Arthur Lewbel, 2002.
"Semiparametric Binary Choice Panel Data Models Without Strictly Exogeneous Regressors,"
Econometric Society, vol. 70(5), pages 2053-2063, September.
- Bo E. Honore & Arthur Lewbel, 1998. "Semiparametric Binary Choice Panel Data Models without Strictly Exogeneous Regressors," Boston College Working Papers in Economics 455, Boston College Department of Economics, revised 22 Sep 2001.
- Hsiao, C., 1992. "Logit and Probit Models," Papers 9210, Southern California - Department of Economics.
- Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter, 2001. "GMM estimation of linear panel data models with time-varying individual effects," Journal of Econometrics, Elsevier, vol. 101(2), pages 219-255, April.
- Thierry Magnac, 2002. "Binary variables and fixed effects: generalizing conditional logit," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 D6-4, International Conferences on Panel Data.
- Bertschek, Irene & Lechner, Michael, 1998.
"Convenient estimators for the panel probit model,"
Journal of Econometrics,
Elsevier, vol. 87(2), pages 329-371, September.
- Manuel Arellano, 2003.
"Discrete choices with panel data,"
Fundación SEPI, vol. 27(3), pages 423-458, September.
- Manski, Charles F., 1985. "Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 313-333, March.
- Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988.
"Estimating Vector Autoregressions with Panel Data,"
Econometric Society, vol. 56(6), pages 1371-95, November.
- Tom Doan, . "RATS program to demonstrate IV estimation of VAR in panel data," Statistical Software Components RTZ00185, Boston College Department of Economics.
- Lancaster, Tony, 2002. "Orthogonal Parameters and Panel Data," Review of Economic Studies, Wiley Blackwell, vol. 69(3), pages 647-66, July.
- Crepon, Bruno & Kramarz, Francis & Trognon, Alain, 1997. "Parameters of interest, nuisance parameters and orthogonality conditions An application to autoregressive error component models," Journal of Econometrics, Elsevier, vol. 82(1), pages 135-156.
When requesting a correction, please mention this item's handle: RePEc:cpd:pd2002:d6-2. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sune Karlsson)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.