Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data |
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Authors: | Francesco Bartolucci Valentina Nigro |
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Institution: | 1. Dipartimento di Economia, Finanza e Statistica, Università di Perugia, 06123 Perugia, Italy;2. Banca d’Italia, Via Nazionale 91, 00184 Roma, Italy |
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Abstract: | We show how the dynamic logit model for binary panel data may be approximated by a quadratic exponential model. Under the approximating model, simple sufficient statistics exist for the subject-specific parameters introduced to capture the unobserved heterogeneity between subjects. The latter must be distinguished from the state dependence which is accounted for by including the lagged response variable among the regressors. By conditioning on the sufficient statistics, we derive a pseudo conditional likelihood estimator of the structural parameters of the dynamic logit model, which is simple to compute. Asymptotic properties of this estimator are studied in detail. Simulation results show that the estimator is competitive in terms of efficiency with estimators recently proposed in the econometric literature. |
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Keywords: | C13 C23 C25 |
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