Arbeitspapier
An exponential class of dynamic binary choice panel data models with fixed effects
This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be arbitrarily correlated with covariates. The model is of the exponential type. We derive moment conditions that enable us to eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM estimators that are consistent and asymptotically normally distributed at the root-N rate. We also study the conditional likelihood approach, which can only identify the effect of state dependence in our case. Monte Carlo experiments demonstrate the finite sample performance of our GMM estimators.
- Sprache
-
Englisch
- Erschienen in
-
Series: IZA Discussion Papers ; No. 7054
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- Thema
-
dynamic discrete choice
fixed effects
panel data
initial values
GMM
CMLE
Diskrete Entscheidung
Panel
Momentenmethode
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Al-Sadoon, Majid M.
Li, Tong
Pesaran, Mohammad Hashem
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for the Study of Labor (IZA)
- (wo)
-
Bonn
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Al-Sadoon, Majid M.
- Li, Tong
- Pesaran, Mohammad Hashem
- Institute for the Study of Labor (IZA)
Entstanden
- 2012
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