cemmap working paper CWP22/22
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 effects, and we demonstrate how to construct them when they exist. Our approach is closely related to the numerical “functional differencing” construction in Bonhomme (2012), but our emphasis is to find explicit analytic expressions for the moment functions. We first explain the construction and give examples of such moment conditions in various models. Then, we focus on the dynamic binary choice logit model and explore the implications of the moment conditions for identification and estimation of the model parameters that are common to all individuals.
Bo E. Honoré
Research Associate University College London and University of Oxford
Martin is an IFS Research Associate, a Fellow of the Nuffield College and a Professor in the Department of Economics at the University of Oxford.
Working Paper details
Honoré, B and Weidner, M. (2022). Moment conditions for dynamic panel logit models with fixed effects. 22/22. London: cemmap. Available at: https://ifs.org.uk/publications/moment-conditions-dynamic-panel-logit-models-fixed-effects-0 (accessed: 3 December 2023).
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