Moment Conditions for Dynamic Panel Logit Models with Fixed Effects (joint work with Bo Honore)
This paper builds on Bonhomme (2012) to develop a method to systematically construct moment conditions for dynamic panel data logit models with fixed effects. After introducing the moment conditions obtained in this way, we explore their implications for identification and estimation of the model parameters that are common to all individuals, and we find that those common model parameters are estimable at root-n rate for many more dynamic panel logit models than has been appreciated by the existing literature. In the case where the model contains one lagged variable, the moment conditions in Kitazawa (2013, 2016) are transformations of a subset of ours. A GMM estimator that is based on the moment conditions is shown to perform well in Monte Carlo simulations and in an empirical illustration to labor force participation.

Link to paper: arxiv.org/abs/2005.05942
Date: 18 February 2021, 13:00 (Thursday, 5th week, Hilary 2021)
Venue: Held on Zoom
Speaker: Martin Weidner (University of Oxford)
Organising department: Department of Economics
Part of: Department of Economics Seminar
Booking required?: Not required
Audience: Members of the University only
Editor: Melis Clark