Related papers: Further results on the estimation of dynamic panel…
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…
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…
In this paper we first propose a root-n-consistent Conditional Maximum Likelihood (CML) estimator for all the common parameters in the panel logit AR(p) model with strictly exogenous covariates and fixed effects. Our CML estimator (CMLE)…
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…
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…
We develop a general estimation and inference procedure for the common parameters in linear panel data regression models with nonparametric two-way specification of unobserved heterogeneity. The procedure takes as input any first-step…
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,…
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 considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], thus allowing for some of the individual processes to have…
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…
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…
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 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 the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces the model to a…
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…
This paper considers a class of GMM estimators for general dynamic panel models, allowing for weakly exogenous covariates and cross sectional dependence due to spatial lags, unspecified common shocks and time-varying interactive effects. We…
This paper studies a class of linear panel models with random coefficients. We do not restrict the joint distribution of the time-invariant unobserved heterogeneity and the covariates. We investigate identification of the average partial…
We consider identification, inference and validation of linear panel data models when both factors and factor loadings are accounted for by a nonparametric function. This general specification encompasses rather popular models such as the…
We study linear panel regression models in which the unobserved error term is an unknown smooth function of two-way unobserved fixed effects. In standard additive or interactive fixed effect models the individual specific and time specific…
In this paper, we examine identification in dynamic panel logit models with state dependence, a first-order Markov feedback process, and individual unobserved heterogeneity by introducing sufficient statistics for the feedback process and…