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Moment Conditions for Dynamic Panel Logit Models with Fixed Effects

Author

Listed:
  • Bo E. Honoré

    (Princeton University)

  • Martin Weidner

    (University College London)

Abstract

This paper builds on Bonhomme (2012) to develop a method to systematically construct moment conditions for dynamic panel data logit models with fixed effects. After introducing the moment conditions obtained in this way, we explore their implications for identification and estimation of the model parameters that are common to all individuals, and we find that those common model parameters are estimable at root-n rate for many more dynamic panel logit models than has been appreciated by the existing literature. In the case where the model contains one lagged variable, the moment conditions in Kitazawa (2013, 2016) are transformations of a subset of ours. A GMM estimator that is based on the moment conditions is shown to perform well in Monte Carlo simulations and in an empirical illustration to labor force participation.

Suggested Citation

  • Bo E. Honoré & Martin Weidner, 2021. "Moment Conditions for Dynamic Panel Logit Models with Fixed Effects," Working Papers 2021-79, Princeton University. Economics Department..
    • Handle: RePEc:pri:econom:2021-79
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    File URL: https://arxiv.org/pdf/2005.05942.pdf
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    References listed on IDEAS

    as
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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 panel data logit models; moment conditions;

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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