Related papers: Moment Conditions for Dynamic Panel Logit Models w…
This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed…
This paper systematically analyzes and reviews identification strategies for binary choice logit models with fixed effects in panel and network data settings. We examine both static and dynamic models with general fixed-effect structures,…
We show that identification in a general class of dynamic panel logit models with fixed effects is related to the truncated moment problem from the mathematics literature. We use this connection to show that the identified set for…
Dynamic logit models are popular tools in economics to measure state dependence. This paper introduces a new method to derive moment restrictions in a large class of such models with strictly exogenous regressors and fixed effects. We…
Many economic models feature moment conditions that involve latent variables. When the latent variables are individual fixed effects in an auxiliary panel data regression, we construct orthogonal moments that eliminate first-order bias…
Kitazawa (2013, 2016) showed that the common parameters in the panel logit AR(1) model with strictly exogenous covariates and fixed effects are estimable at the root-n rate using the Generalized Method of Moments. Honor\'e and Weidner…
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where…
We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel data models with individual and time effects. They cover logit, probit, ordered probit, Poisson and Tobit models that are…
This paper studies identification and estimation of a dynamic discrete choice model of demand for differentiated product using consumer-level panel data with few purchase events per consumer (i.e., short panel). Consumers are…
We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is…
In nonlinear panel data models, fixed effects methods are often criticized because they cannot identify average marginal effects (AMEs) in short panels. The common argument is that identifying AMEs requires knowledge of the distribution of…
Empirical economists are often deterred from the application of fixed effects binary choice models mainly for two reasons: the incidental parameter problem and the computational challenge even in moderately large panels. Using the example…
Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed…
This paper studies identification and estimation of average causal effects, such as average marginal or treatment effects, in fixed effects logit models with short panels. Relating the identified set of these effects to an extremal moment…
This paper proposes linear estimation methods for dynamic fixed effects logit models only with time effects (i.e., those only with time dummies and only with time trends). The linear estimators point-identify transformations of parameters…
This paper establishes (set) identification results in a dynamic dyadic network formation model with time-varying observed covariates, lagged local network statistics, and unobserved heterogeneity in the form of fixed effects. Our framework…
We study a fixed-$T$ panel data logit model for ordered outcomes that accommodates fixed effects and state dependence. We provide identification results for the autoregressive parameter, regression coefficients, and the threshold parameters…
We develop a general framework for the identification of counterfactual parameters in a class of nonlinear semiparametric panel models with fixed effects and time effects. Our method applies to models for discrete outcomes (e.g., two-way…
We consider fixed effects binary choice models with a fixed number of periods $T$ and regressors without a large support. If the time-varying unobserved terms are i.i.d. with known distribution $F$, \cite{chamberlain2010} shows that the…
We show that a dynamic logit model for binary panel data allowing for state dependence and unobserved heterogeneity may be accurately approximated by a quadratic exponential model, the parameters of which have the same interpretation that…