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An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects

Majid Al-Sadoon, Tong Li and Mohammad Pesaran

No 7054, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be arbitrarily correlated with covariates. The model is of the exponential type. We derive moment conditions that enable us to eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM estimators that are consistent and asymptotically normally distributed at the root-N rate. We also study the conditional likelihood approach, which can only identify the effect of state dependence in our case. Monte Carlo experiments demonstrate the finite sample performance of our GMM estimators.

Keywords: dynamic discrete choice; fixed effects; panel data; initial values; GMM; CMLE (search for similar items in EconPapers)
JEL-codes: C23 C25 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2012-11
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Exponential class of dynamic binary choice panel data models with fixed effects (2017) Downloads
Working Paper: An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects (2012) Downloads
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