Christopher Dobronyi, Jiaying Gu, Kyoo il Kim, Thomas M. Russell
arXiv 9 Apr 2021 · Econometrics · 12 citations (OpenAlex)
arXiv:2104.04590 · PDF · DOI · OpenAlex · Extracted main text
We show that identification in a general class of dynamic panel logit models with fixed effects is related to the truncated moment problem from the mathematics literature. We use this connection to show that the identified set for structural parameters and functionals of the distribution of latent individual effects can be characterized by a finite set of conditional moment equalities subject to a certain set of shape constraints on the model parameters. In addition to providing a general approach to identification, the new characterization can deliver informative bounds in cases where competing methods deliver no identifying restrictions, and can deliver point identification in cases where competing methods deliver partial identification. We then present an estimation and inference procedure that uses semidefinite programming methods, is applicable with continuous or discrete covariates, and can be used for models that are either point- or partially-identified. Finally, we illustrate our identification result with a number of examples, and provide an empirical application to employment dynamics using data from the National Longitudinal Survey of Youth.
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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 | Honoré, Bo E and Weidner, Martin Moment conditions for dynamic panel logit models with fixed effects | 1.000 | 17 | 4 | 100% |
| 2 | Chamberlain, Gary Heterogeneity, duration dependence and omitted variable bias | 1.000 | 7 | 3 | 100% |
| 3 | Rasch, Georg Probabilistic models for some intelligence and attainment tests | 0.941 | 6 | 4 | 83% |
| 4 | Chernozhukov, Victor and Newey, Whitney K and Santos, Andres Constrained conditional moment restriction models | 0.843 | 4 | 4 | 75% |
| 5 | Aguirregabiria, Victor and Carro, Jesús M (2024) Identification of average marginal effects in fixed effects dynamic discrete choice models | 0.811 | 4 | 2 | 100% |
| 6 | Curto, Raúl E and Fialkow, Lawrence A Recursiveness, positivity and truncated moment problems | 0.763 | 9 | 4 | 44% |
| 7 | Davezies, Laurent and D'Haultfœuille, Xavier and Laage, Louise Identification and estimation of average marginal effects in fixed effects logit models | 0.737 | 5 | 2 | 60% |
| 8 | Bonhomme, Stéphane Functional differencing | 0.737 | 3 | 2 | 100% |
| 9 | Dobronyi, Christopher and Gu, Jiaying and Kim, Kyoo il (2021) Identification of dynamic panel logit models with fixed effects self | 0.737 | 3 | 2 | 100% |
| 10 | Honoré, Bo E and Tamer, Elie Bounds on parameters in panel dynamic discrete choice models | 0.737 | 3 | 2 | 100% |
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