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A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator

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  • Francesco Bartolucci
  • Valentina Nigro

Abstract

A model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of available covariates. The model is of quadratic exponential type and its structure closely resembles that of the dynamic logit model. However, it has the advantage of being easily estimable via conditional likelihood with at least two observations (further to an initial observation) and even in the presence of time dummies among the regressors. Copyright 2010 The Econometric Society.

Suggested Citation

  • Francesco Bartolucci & Valentina Nigro, 2010. "A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator," Econometrica, Econometric Society, vol. 78(2), pages 719-733, March.
    • Handle: RePEc:ecm:emetrp:v:78:y:2010:i:2:p:719-733
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    References listed on IDEAS

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    1. Thierry Magnac, 2004. "Panel Binary Variables and Sufficiency: Generalizing Conditional Logit," Econometrica, Econometric Society, vol. 72(6), pages 1859-1876, November.
    2. 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.
    3. 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, Elsevier.
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    5. Jinyong Hahn & Whitney Newey, 2004. "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models," Econometrica, Econometric Society, vol. 72(4), pages 1295-1319, July.
    6. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, December.
    7. Dean R. Hyslop, 1999. "State Dependence, Serial Correlation and Heterogeneity in Intertemporal Labor Force Participation of Married Women," Econometrica, Econometric Society, vol. 67(6), pages 1255-1294, November.
    8. D. R. Cox, 1972. "The Analysis of Multivariate Binary Data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 21(2), pages 113-120, June.
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