EconPapers    
Economics at your fingertips  
 

Sufficient Statistics for Unobserved Heterogeneity in Structural Dynamic Logit Models

Victor Aguirregabiria (), Jiaying Gu and Yao Luo

Papers from arXiv.org

Abstract: We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is nonparametric, i.e., fixed-effects model. We consider models with two endogenous state variables: the lagged decision variable, and the time duration in the last choice. This class of models includes as particular cases important economic applications such as models of market entry-exit, occupational choice, machine replacement, inventory and investment decisions, or dynamic demand of differentiated products. The identification of structural parameters requires a sufficient statistic that controls for unobserved heterogeneity not only in current utility but also in the continuation value of the forward-looking decision problem. We obtain the minimal sufficient statistic and prove identification of some structural parameters using a conditional likelihood approach. We apply this estimator to a machine replacement model.

New Economics Papers: this item is included in nep-com, nep-dcm and nep-upt
Date: 2018-05
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1805.04048 Latest version (application/pdf)

Related works:
Working Paper: Sufficient Statistics for Unobserved Heterogeneity in Structural Dynamic Logit Models (2018) Downloads
Working Paper: Sufficient Statistics for Unobserved Heterogeneity in Structural Dynamic Logit Models (2018) Downloads
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:arx:papers:1805.04048

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-03-06
Handle: RePEc:arx:papers:1805.04048