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Moment Conditions for Dynamic Panel Logit Models with Fixed Effects

Author

Listed:
  • Bo E. Honor'e
  • Martin Weidner
Abstract
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 in Bonhomme (2012), 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 identification and estimation of the model parameters that are common to all individuals.

Suggested Citation

  • Bo E. Honor'e & Martin Weidner, 2020. "Moment Conditions for Dynamic Panel Logit Models with Fixed Effects," Papers 2005.05942, arXiv.org, revised Dec 2023.
    • Handle: RePEc:arx:papers:2005.05942
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    References listed on IDEAS

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    1. Fernández-Val, Iván & Weidner, Martin, 2016. "Individual and time effects in nonlinear panel models with large N, T," Journal of Econometrics, Elsevier, vol. 192(1), pages 291-312.
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    Cited by:

    1. Christopher Dobronyi & Jiaying Gu & Kyoo il Kim, 2021. "Identification of Dynamic Panel Logit Models with Fixed Effects," Papers 2104.04590, arXiv.org, revised Apr 2021.
    2. Chris Muris & Pedro Raposo & Sotiris Vandoros, 2020. "A Dynamic Ordered Logit Model with Fixed Effects," Department of Economics Working Papers 2020-14, McMaster University.
    3. Andrew Chesher & Adam Rosen & Yuanqi Zhang, 2024. "Robust analysis of short panels," IFS Working Papers WCWP01/24, Institute for Fiscal Studies.
    4. Bo E. Honoré & Luojia Hu & Ekaterini Kyriazidou & Martin Weidner, 2023. "Simultaneity in binary outcome models with an application to employment for couples," Empirical Economics, Springer, vol. 64(6), pages 3197-3233, June.

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