Root-N consistent estimations of time dummies for the dynamic fixed effects logit models: Monte Carlo illustrations

Yoshitsugu Kitazawa

No 72, Discussion Papers from Kyushu Sangyo University, Faculty of Economics

Abstract: This paper illustrates the feasibility of the root-N consistent estimations of time dummies for both dynamic fixed effects logit models with strictly exogenous continuous explanatory variables and with no explanatory variable by using some Monte Carlo experiments. The illustrations not only imply the direct rebuttal to the generalization of Hahn fs (2001) suggestion, but also pave the way for fathoming the time effects in dynamic binary choice panel data models in a breeze.

Keywords: dynamic fixed effects logit models; time dummies; root-N consistent GMM estimators; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C23 C25 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2016-03
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:kyu:dpaper:72

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