Downloads
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.
Authors

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
- Publisher
- cemmap
Suggested citation
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: 29 April 2025).
More from IFS
Understand this issue

Gender norms, violence and adolescent girls’ trajectories: Evidence from India
24 October 2022

Drastic times need drastic action: breaking the 50-year tax taboo
Rachel Reeves should consider increasing the basic rate, just as Denis Healey did in 1975
14 April 2025

Average household consumption spending before and after housing costs, and mean weekly per-capita income, in different local authorities, 2018–2019
Londoners may have the highest average incomes, but their household spending once you account for housing costs is lower than other regions.
11 April 2025
Policy analysis

Which places have the highest standard of living?
Measuring living standards using average household spending gives a starkly different picture of regional inequalities than using average income.
11 April 2025

IFS Deputy Director Carl Emmerson appointed to the UK Statistics Authority Methodological Assurance Review Panel
14 April 2023

The role of changing health in rising health-related benefit claims
Is the working-age population less healthy since the pandemic? What role is changing health playing in rising health-related benefit claims?
12 March 2025
Academic research

Small area consumption estimates for local authorities in Great Britain
In this paper, we estimate average equivalised consumption measures across local authority districts in Great Britain.
11 April 2025

Prediction sets and conformal inference with censored outcomes
This paper provides estimation methods of such prediction sets given observed conditioning covariates when 𝑌 is censored or measured in intervals.
21 January 2025

The impact of labour demand shocks when occupational labour supplies are heterogeneous
We develop a tractable equilibrium model of the labour market with heterogeneous labour supply elasticities by occupation and across occupation pairs.
8 April 2025