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Transformations and moment conditions for dynamic fixed effects logit models

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  • Kitazawa, Yoshitsugu

Abstract

This study proposes transformations for dynamic fixed effects logit models. First, these transformations construct valid moment conditions for the case with neither explanatory variables nor time dummies. Using valid moment conditions, we can obtain the first-order condition of the conditional maximum likelihood estimator proposed by Chamberlain (1985). Next, we derive valid moment conditions based on the transformations for the cases with strictly exogenous continuous explanatory variables and/or time dummies when the number of time periods is four or more. Transformations of these moment conditions exactly coincide with a subset of those obtained by Honoré and Weidner (2020) using the functional differencing approach proposed by Bonhomme (2012).

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  • Kitazawa, Yoshitsugu, 2022. "Transformations and moment conditions for dynamic fixed effects logit models," Journal of Econometrics, Elsevier, vol. 229(2), pages 350-362.
    • Handle: RePEc:eee:econom:v:229:y:2022:i:2:p:350-362
    DOI: 10.1016/j.jeconom.2021.01.007
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
    3. Blundell, Richard & Griffith, Rachel & Windmeijer, Frank, 2002. "Individual effects and dynamics in count data models," Journal of Econometrics, Elsevier, vol. 108(1), pages 113-131, May.
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    6. Majid M. Al-Sadoon & Tong Li & M. Hashem Pesaran, 2017. "Exponential class of dynamic binary choice panel data models with fixed effects," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 898-927, October.
    7. Bo E. Honoré & Martin Weidner, 2020. "Moment Conditions for Dynamic Panel Logit Models with Fixed Effects," CeMMAP working papers CWP38/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 5-27, July.
    9. Pesaran, M. Hashem & Timmermann, Allan, 2009. "Testing Dependence Among Serially Correlated Multicategory Variables," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 325-337.
    10. Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 225-238.
    11. Stéphane Bonhomme, 2012. "Functional Differencing," Econometrica, Econometric Society, vol. 80(4), pages 1337-1385, July.
    12. Buchinsky, Moshe & Hahn, Jinyong & Kim, Kyoo il, 2010. "Semiparametric information bound of dynamic discrete choice models," Economics Letters, Elsevier, vol. 108(2), pages 109-112, August.
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    Cited by:

    1. Kevin Dano, 2023. "Transition Probabilities and Moment Restrictions in Dynamic Fixed Effects Logit Models," Papers 2303.00083, arXiv.org, revised Dec 2023.

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    More about this item

    Keywords

    Dynamic fixed effects logit models; Strictly exogenous continuous explanatory variables; Time dummies; Moment conditions;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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