English

Identification in a Binary Choice Panel Data Model with a Predetermined Covariate

Econometrics 2023-07-25 v2 Statistics Theory Methodology Statistics Theory

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 θ\theta, 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 θ\theta 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 θ\theta and show how to compute it using linear programming techniques. While θ\theta is not generally point-identified, its identified set is informative in the examples we analyze numerically, suggesting that meaningful learning about θ\theta 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.

Keywords

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)

R2 v1 2026-06-28T08:11:25.810Z