Transformations and moment conditions for dynamic fixed effects logit models

Yoshitsugu Kitazawa

Journal of Econometrics, 2022, vol. 229, issue 2, 350-362

Abstract: This study proposes transformations for dynamic fixed effects logit models. First, these transformations construct valid moment conditions for the case with neither explanatory variables nor time dummies. Using valid moment conditions, we can obtain the first-order condition of the conditional maximum likelihood estimator proposed by Chamberlain (1985). Next, we derive valid moment conditions based on the transformations for the cases with strictly exogenous continuous explanatory variables and/or time dummies when the number of time periods is four or more. Transformations of these moment conditions exactly coincide with a subset of those obtained by Honoré and Weidner (2020) using the functional differencing approach proposed by Bonhomme (2012).

Keywords: Dynamic fixed effects logit models; Strictly exogenous continuous explanatory variables; Time dummies; Moment conditions (search for similar items in EconPapers)
JEL-codes: C33 C35 C36 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:229:y:2022:i:2:p:350-362

DOI: 10.1016/j.jeconom.2021.01.007

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