THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS
Abstract
In this paper, I calculate the semiparametric information bound in two dynamic panel data logit models with individual specific effects. In such a model without any other regressors, it is well known that the conditional maximum likelihood estimator yields a √ n -consistent estimator. In the case where the model includes strictly exogenous continuous regressors, Honoré and Kyriazidou (2000, Econometrica 68, 839–874) suggest a consistent...
Paper Details
Title
THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS
Published Date
Sep 25, 2001
Journal
Volume
17
Issue
5
Pages
913 - 932
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