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DFEL-RTN, a set of TSP programs for root-N consistent estimations of dynamic fixed effects logit models

Author

Listed:
  • Yoshitsugu Kitazawa

    (Faculty of Economics, Kyushu Sangyo University)

Abstract

gDFEL-RTN (version 0.0.0) h is a set of TSP programs for root-N consistently estimating the dynamic fixed effects logit model with strictly exogenous continuous explanatory variables and/or time dummies. This set facilitates the researchers exploring the binary choice panel data.

Suggested Citation

  • Yoshitsugu Kitazawa, 2017. "DFEL-RTN, a set of TSP programs for root-N consistent estimations of dynamic fixed effects logit models," Discussion Papers 81, Kyushu Sangyo University, Faculty of Economics.
    • Handle: RePEc:kyu:dpaper:81
    as

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    File URL: http://www.ip.kyusan-u.ac.jp/keizai-kiyo/dp81.pdf
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    References listed on IDEAS

    as
    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. 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. Hahn, Jinyong, 2001. "The Information Bound Of A Dynamic Panel Logit Model With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 17(5), pages 913-932, October.
    4. Yoshitsugu Kitazawa, 2013. "Exploration of dynamic fixed effects logit models from a traditional angle," Discussion Papers 60, Kyushu Sangyo University, Faculty of Economics.
    5. Yoshitsugu Kitazawa, 2016. "Root-N consistent estimations of time dummies for the dynamic fixed effects logit models: Monte Carlo illustrations," Discussion Papers 72, Kyushu Sangyo University, Faculty of Economics.
    6. Bartolucci, Francesco & Nigro, Valentina, 2012. "Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data," Journal of Econometrics, Elsevier, vol. 170(1), pages 102-116.
    7. Bester, C. Alan & Hansen, Christian, 2009. "A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 131-148.
    8. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    dynamic fixed effects logit models; strictly exogenous continuous explanatory variables; time dummies; root-N consistent GMM estimators;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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