IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Testing for State Dependence with Time-Variant Transition Probabilities

  • Timothy J. Halliday


    (Department of Economics, University of Hawaii at Manoa
    John A. Burns School of Medicine)

We consider the identification of state dependence in a dynamic Logit model with timevariant transition probabilities and an arbitrary distribution of the unobserved heterogeneity. We derive a simple result that allows us to test for the presence of state dependence in this model. Monte Carlo evidence suggests that this test has desirable properties even when there are some violations of the model’s assumptions. We also consider alternative tests for state dependence that will have desirable properties only when the transition probabilities do not depend on time and provide evidence that there is an "acceptable" range in which ignoring time-dependence does not matter too much. We conclude with an application to the Barker Hypothesis.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: First version, 2006
Download Restriction: no

Paper provided by University of Hawaii at Manoa, Department of Economics in its series Working Papers with number 200614.

in new window

Length: 24 pages
Date of creation: 31 Dec 2006
Date of revision:
Handle: RePEc:hai:wpaper:200614
Contact details of provider: Postal: 2424 Maile Way, Honolulu, HI 96822
Phone: (808)956-8730
Fax: (808)956-4347
Web page:

More information through EDIRC

Order Information: Web: Email:

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.:

as in new window
  1. Thierry Magnac, 2004. "Panel Binary Variables and Sufficiency: Generalizing Conditional Logit," Econometrica, Econometric Society, vol. 72(6), pages 1859-1876, November.
  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, 05.
  3. Hahn, Jinyong, 2001. "The Information Bound Of A Dynamic Panel Logit Model With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 17(05), pages 913-932, October.
  4. 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.
  5. Halliday, Timothy J., 2008. "Heterogeneity, State Dependence and Health," IZA Discussion Papers 3463, Institute for the Study of Labor (IZA).
  6. Timothy Halliday, 2006. "Income Risk and Health," Working Papers 200612, University of Hawaii at Manoa, Department of Economics.
  7. Anne Case & Darren Lubotsky & Christina Paxson, 2002. "Economic status and health in childhood: the origins of the gradient," Working Papers 262, Princeton University, Woodrow Wilson School of Public and International Affairs, Center for Health and Wellbeing..
  8. Bo E. Honoré & Elie Tamer, 2002. "Bounds on Parameters in Dynamic Discrete Choice Models," CAM Working Papers 2004-23, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, revised Aug 2004.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:hai:wpaper:200614. 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: (Web Technician)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.