Identification of Dynamic Panel Logit Models with Fixed Effects

Christopher Dobronyi, Jiaying Gu, Kyoo il Kim and Thomas M. Russell

Papers from arXiv.org

Abstract: We show that identification in a general class of dynamic panel logit models with fixed effects is related to the truncated moment problem from the mathematics literature. We use this connection to show that the identified set for structural parameters and functionals of the distribution of latent individual effects can be characterized by a finite set of conditional moment equalities subject to a certain set of shape constraints on the model parameters. In addition to providing a general approach to identification, the new characterization can deliver informative bounds in cases where competing methods deliver no identifying restrictions, and can deliver point identification in cases where competing methods deliver partial identification. We then present an estimation and inference procedure that uses semidefinite programming methods, is applicable with continuous or discrete covariates, and can be used for models that are either point- or partially-identified. Finally, we illustrate our identification result with a number of examples, and provide an empirical application to employment dynamics using data from the National Longitudinal Survey of Youth.

Date: 2021-04, Revised 2024-12
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2104.04590

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