On the Existence of Conditional Maximum Likelihood Estimates of the Binary Logit Model with Fixed Effects

Martin Mugnier

Papers from arXiv.org

Abstract: By exploiting McFadden (1974)'s results on conditional logit estimation, we show that there exists a one-to-one mapping between existence and uniqueness of conditional maximum likelihood estimates of the binary logit model with fixed effects and the configuration of data points. Our results extend those in Albert and Anderson (1984) for the cross-sectional case and can be used to build a simple algorithm that detects spurious estimates in finite samples. As an illustration, we exhibit an artificial dataset for which the STATA's command \texttt{clogit} returns spurious estimates.

Date: 2020-09, Revised 2020-09
New Economics Papers: this item is included in nep-dcm and nep-ecm
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