论文标题
具有固定效果的动态面板logit模型的瞬间条件
Moment Conditions for Dynamic Panel Logit Models with Fixed Effects
论文作者
论文摘要
本文研究了具有单个特定固定效果的离散选择面板数据中的矩条件的构建。我们描述了如何系统地探索不取决于固定效应的时刻条件的存在，并演示了如何在存在时构造它们。我们的方法与Bonhomme（2012）中的数值“功能差异”结构密切相关，但我们的重点是找到有关瞬间功能的明确分析表达式。我们首先解释了构造，并在各种模型中给出了这种时刻条件的例子。然后，我们专注于动态二进制选择logit模型，并探讨矩情况对所有个人共有的模型参数识别和估计的含义。
This paper investigates the construction of moment conditions in discrete choice panel data with individual specific fixed effects. We describe how to systematically explore the existence of moment conditions that do not depend on the fixed effects, and we demonstrate how to construct them when they exist. Our approach is closely related to the numerical "functional differencing" construction in Bonhomme (2012), but our emphasis is to find explicit analytic expressions for the moment functions. We first explain the construction and give examples of such moment conditions in various models. Then, we focus on the dynamic binary choice logit model and explore the implications of the moment conditions for identification and estimation of the model parameters that are common to all individuals.
