Moment Conditions for Dynamic Panel Logit Models with Fixed Effects

被引：0

作者：

Honore, Bo E. ^{[1
]}

Weidner, Martin ^{[2
,3
]}

机构：

[1] Princeton Univ, Princeton, NJ 08544 USA

[2] Univ Oxford, Oxford, England

[3] Univ Oxford Nuffield Coll, Oxford, England

来源：

REVIEW OF ECONOMIC STUDIES | 2024年

基金：

欧洲研究理事会; 美国国家科学基金会; 英国经济与社会研究理事会;

关键词：

Panel data; Fixed effects; Logit models; Dynamics; CHOICE MODELS;

D O I：

10.1093/restud/rdae097

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the construction of moment conditions in discrete choice panel data with individual-specific fixed effects. We describe how to systematically explore the existence of moment conditions that do not depend on the fixed effects, and we demonstrate how to construct them when they exist. Our approach is closely related to the numerical "functional differencing" construction introduced in a seminal paper by Bonhomme, but our emphasis is to find explicit analytic expressions for the moment functions. We first explain the construction and give examples of such moment conditions in various models. Then, we focus on the dynamic binary choice logit model and explore the implications of the moment conditions for the identification and estimation of the model parameters that are common to all individuals.

引用

页数：26