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
- DOI
- 10.47004/wp.cem.2022.2222
- 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: 9 May 2024).
More from IFS
Understand this issue
Gender norms, violence and adolescent girls’ trajectories: Evidence from India
24 October 2022
Empty defence spending promises are a shot in the dark
29 April 2024
Public investment: what you need to know
25 April 2024
Policy analysis
IFS Deputy Director Carl Emmerson appointed to the UK Statistics Authority Methodological Assurance Review Panel
14 April 2023
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Compu- tation which build likelihoods based on limited information.
12 August 2014
Is there really an NHS productivity crisis?
17 November 2023
Academic research
Sample composition and representativeness on Understanding Society
2 February 2024
Understanding Society: minimising selection biases in data collection using mobile apps
2 February 2024
Robust analysis of short panels
8 January 2024