A dynamic model for binary panel data with unobserved heterogeneity admitting a Vn-consistent conditional estimator
A model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of strictly exogenous covariates. The model is of quadratic exponential type and its structure closely resembles that of the dynamic logit model. An economic interpretation of its assumptions, based on expectation about future outcomes, is provided. The main advantage of the proposed model, with respect to the dynamic logit model, is that each individual-specific parameter for the unobserved heterogeneity may be eliminated by conditioning on the sum of the corresponding response variables. A conditional likelihood results which allows us to identify the structural parameters of the model with at least three observations (included an initial observation assumed to be exogenous), even in the presence of time dummies. A pn-consistent conditional estimator of these parameters also results which is very simple to compute. Its finite sample properties are studied by means of a simulation study. Extensions of the proposed approach are discussed with reference, in particular, to the case of more elaborated structures for the state dependence and to that of categorical response variables with more than two levels.
|Date of creation:||20 Feb 2007|
|Date of revision:|
|Contact details of provider:|| Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma|
Web page: http://www.ceistorvergata.it
More information through EDIRC
|Order Information:|| Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma|
Web: http://www.ceistorvergata.it Email:
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.:
- Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-62, March.
- 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.
- Arellano, Manuel & Honore, Bo, 2001.
"Panel data models: some recent developments,"
Handbook of Econometrics,
in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 53, pages 3229-3296
- Hahn, Jinyong & Kuersteiner, Guido, 2011. "Bias Reduction For Dynamic Nonlinear Panel Models With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1152-1191, December.
- Thierry Magnac, 2004.
"Panel Binary Variables and Sufficiency: Generalizing Conditional Logit,"
Econometric Society, vol. 72(6), pages 1859-1876, November.
- Thierry Magnac, 2003. "Panel Binary Variables and Sufficiency: Generalizing Conditional Logit," Research Unit Working Papers 0308, Laboratoire d'Economie Appliquee, INRA.
- 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.
- Jinyong Hahn & Whitney Newey, 2003.
"Jackknife and analytical bias reduction for nonlinear panel models,"
CeMMAP working papers
CWP17/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jinyong Hahn & Whitney Newey, 2004. "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models," Econometrica, Econometric Society, vol. 72(4), pages 1295-1319, 07.
- Carro, Jesus M., 2007. "Estimating dynamic panel data discrete choice models with fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 503-528, October.
- Newey, Whitney K. & McFadden, Daniel, 1986. "Large sample estimation and hypothesis testing," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245 Elsevier.
When requesting a correction, please mention this item's handle: RePEc:rtv:ceisrp:97. 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: (Barbara Piazzi)
If references are entirely missing, you can add them using this form.