Identification in a Binary Choice Panel Data Model with a Predetermined Covariate
Abstract
We study identification in a binary choice panel data model with a single \emph{predetermined} binary covariate (i.e., a covariate sequentially exogenous conditional on lagged outcomes and covariates). The choice model is indexed by a scalar parameter , whereas the distribution of unit-specific heterogeneity, as well as the feedback process that maps lagged outcomes into future covariate realizations, are left unrestricted. We provide a simple condition under which is never point-identified, no matter the number of time periods available. This condition is satisfied in most models, including the logit one. We also characterize the identified set of and show how to compute it using linear programming techniques. While is not generally point-identified, its identified set is informative in the examples we analyze numerically, suggesting that meaningful learning about may be possible even in short panels with feedback. As a complement, we report calculations of identified sets for an average partial effect, and find informative sets in this case as well.
Cite
@article{arxiv.2301.05733,
title = {Identification in a Binary Choice Panel Data Model with a Predetermined Covariate},
author = {Stéphane Bonhomme and Kevin Dano and Bryan S. Graham},
journal= {arXiv preprint arXiv:2301.05733},
year = {2023}
}
Comments
41 pages, 4 figures. Initial draft prepared for a conference in honor of Manuel Arellano at the Bank of Spain (July 2022)