Kevin Dano, Bo E. Honoré, Martin Weidner
arXiv 12 Oct 2026 · Econometrics
arXiv:2610.17104 · PDF · Extracted main text
This paper provides moment conditions for dynamic multinomial logit panel data models with individual specific fixed effects. The moment conditions do not depend on the fixed effects and thus form the basis for generalized method of moments estimation. For a leading case, we provide sufficient conditions under which the moment conditions identify the common parameters, and we illustrate their use in an empirical application to household soft drink purchases. The construction of moment conditions is based on transformed models obtained by permuting outcomes across time periods. For any cyclic permutation, the ratio of the transformed model probability to the true model probability is free of the fixed effects, and comparing two such ratios yields restrictions on the common parameters of interest. This construction is not specific to the multinomial logit. It applies to any dynamic panel data model whose static counterpart admits a symmetric sufficient statistic for the fixed effects. This unifies our main result with analogous results for other models.
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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, B. E. and M. Weidner (2025) Moment conditions for dynamic panel logit models with fixed effects | 0.961 | 9 | 5 | 89% |
| 2 | Dano, K (2023) Transition probabilities and moment restrictions in dynamic fixed effects logit models self | 0.843 | 4 | 3 | 75% |
| 3 | Magnac, T (2000) Subsidised training and youth employment: distinguishing unobserved heterogeneity from state dependence in labour market histories | 0.843 | 3 | 3 | 100% |
| 4 | Neyman, J. and E. L. Scott (1948) Consistent estimates based on partially consistent observations | 0.843 | 3 | 3 | 100% |
| 5 | Bonhomme, S (2012) Functional differencing | 0.811 | 4 | 2 | 100% |
| 6 | Honoré, B. E. and E. Kyriazidou (2000) Panel data discrete choice models with lagged dependent variables | 0.811 | 4 | 2 | 100% |
| 7 | Hahn, J (1997) A note on the efficient semiparametric estimation of some exponential panel models | 0.693 | 5 | 1 | 100% |
| 8 | Arellano, M. and S. Bond (1991) Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations | 0.644 | 2 | 2 | 100% |
| 9 | Heckman, J. J (1981) Statistical models for discrete panel data | 0.644 | 2 | 2 | 100% |
| 10 | Honoré, B. E., C. Muris, and M. Weidner (2025) Dynamic ordered panel logit models self | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 34 scored citations.