A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator

• 成果类型: Article
• 署名作者: Bartolucci, Francesco; Nigro, Valentina
• 署名单位: University of Perugia; University of Rome Tor Vergata
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA7531
• 发表日期: 2010
• 页码: 719-733
• 关键词: discrete-choice models

摘要

A model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of available covariates. The model is of quadratic exponential type and its structure closely resembles that of the dynamic logit model. However, it has the advantage of being easily estimable via conditional likelihood with at least two observations (further to an initial observation) and even in the presence of time dummies among the regressors.