Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Mar, 2010, Volume 78, Issue 2

A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √‐Consistent Conditional Estimator

https://doi.org/10.3982/ECTA7531
p. 719-733

Francesco Bartolucci, Valentina Nigro

A model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of available covariates. The model is of quadratic exponential type and its structure closely resembles that of the dynamic logit model. However, it has the advantage of being easily estimable via conditional likelihood with at least two observations (further to an initial observation) and even in the presence of time dummies among the regressors.


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Supplemental Material

Supplement to "A Dynamic Model for Binary Panel Data with Unobserved Heterogneity Admitting a Root-n Consistent Conditional Estimator"

A PDF file that describes the Monte Carlo study of the conditional estimator of the model proposed in the paper, as well as a comparison of the conditional estimator with some other estimators.

Supplement to "A Dynamic Model for Binary Panel Data with Unobserved Heterogneity Admitting a Root-n Consistent Conditional Estimator"

A zip file containing replication files for the manuscript.

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