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Autoren: 
Al-Sadoon, Majid M.
Li, Tong
Pesaran, M. Hashem
Datum: 
2012
Reihe/Nr.: 
CESifo Working Paper 4033
Zusammenfassung: 
This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be arbitrarily correlated with covariates. The model is of the exponential type. We derive moment conditions that enable us to eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM estimators that are consistent and asymptotically normally distributed at the root-N rate. We also study the conditional likelihood approach, which can only identify the effect of state dependence in our case. Monte Carlo experiments demonstrate the finite sample performance of our GMM estimators.
Schlagwörter: 
dynamic discrete choice
fixed effects
panel data
initial values
GMM
CMLE
JEL: 
C23
C25
Dokumentart: 
Working Paper

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