Laurent Davezies, Xavier D'Haultfoeuille, Martin Mugnier
arXiv 17 Sep 2020 · Econometrics · publishedQuantitative Economics (2023) · 8 citations (OpenAlex)
arXiv:2009.08108 · PDF · DOI · OpenAlex · Extracted main text
We consider fixed effects binary choice models with a fixed number of periods $T$ and regressors without a large support. If the time-varying unobserved terms are i.i.d. with known distribution $F$, \cite{chamberlain2010} shows that the common slope parameter is point identified if and only if $F$ is logistic. However, he only considers in his proof $T=2$. We show that the result does not generalize to $T\geq 3$: the common slope parameter can be identified when $F$ belongs to a family including the logit distribution. Identification is based on a conditional moment restriction. Under restrictions on the covariates, these moment conditions lead to point identification of relative effects. If $T=3$ and mild conditions hold, GMM estimators based on these conditional moment restrictions reach the semiparametric efficiency bound. Finally, we illustrate our method by revisiting Brender and Drazen (2008).
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chamberlain, G (2010) Binary response models for panel data: Identification and information | 0.693 | 8 | 1 | 100% |
| 2 | Brender, A. and A. Drazen (2008) How do budget deficits and economic growth affect reelection prospects? evidence from a large panel of countries | 0.693 | 7 | 1 | 100% |
| 3 | Bonhomme, S (2012) Functional differencing | 0.511 | 2 | 1 | 100% |
| 4 | Magnac, T (2004) Binary variables and sufficiency: Generalizing conditional logit | 0.511 | 2 | 1 | 100% |
| 5 | Krein, M. and A. A. Nudelman (1977) The Markov Moment Problem and Extremal Problems | 0.405 | 2 | 1 | 50% |
| 6 | Hsu, S.-H. and C.-M. Kuan (2011) Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments | 0.405 | 1 | 1 | 100% |
| 7 | Hahn, J (1997) A note on the efficient semiparametric estimation of some exponential panel models | 0.405 | 1 | 1 | 100% |
| 8 | Honore, B. E. and A. Lewbel (2002) Semiparametric binary choice panel data models without strictly exogeneous regressors | 0.405 | 1 | 1 | 100% |
| 9 | Kitazawa, Y (2022) Transformations and moment conditions for dynamic fixed effects logit models | 0.405 | 1 | 1 | 100% |
| 10 | Balakrishnan, N. and M. Leung (1988) Order statistics from the type i generalized logistic distribution | 0.405 | 1 | 1 | 100% |
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