Conditional inference and bias reduction for partial effects estimation of fixed-effects logit models

Francesco Bartolucci, Claudia Pigini () and Francesco Valentini
Additional contact information
Claudia Pigini: Marche Polytechnic University

Empirical Economics, 2023, vol. 64, issue 5, No 11, 2257-2290

Abstract: Abstract We propose a multiple-step procedure to compute average partial effects (APEs) for fixed-effects static and dynamic logit models estimated by (pseudo) conditional maximum likelihood. As individual effects are eliminated by conditioning on suitable sufficient statistics, we propose evaluating the APEs at the maximum likelihood estimates for the unobserved heterogeneity, along with the fixed-T consistent estimator of the slope parameters, and then reducing the induced bias in the APEs by an analytical correction. The proposed estimator has bias of order $$O(T^{-2})$$ O ( T - 2 ) , it performs well in finite samples and, when the dynamic logit model is considered, better than alternative plug-in strategies based on bias-corrected estimates for the slopes, especially in panels with short T. We provide a real data application based on labour supply of married women.

Keywords: Average partial effects; Bias reduction; Binary panel data; Conditional Maximum Likelihood (search for similar items in EconPapers)
JEL-codes: C12 C23 C25 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s00181-022-02313-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Conditional inference and bias reduction for partial effects estimation of fixed-effects logit models (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02313-6

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-022-02313-6

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().