Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 7-Day Trial for You or Your Team.

Learn More →

THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS

THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS <jats:p>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 √<jats:italic>n</jats:italic>-consistent estimator. In the case where the model includes strictly exogenous continuous regressors, Honoré and Kyriazidou (2000, <jats:italic>Econometrica</jats:italic> 68, 839–874) suggest a consistent estimator whose rate of convergence is slower than √<jats:italic>n</jats:italic>. Information bounds calculated in this paper suggest that the conditional maximum likelihood estimator is <jats:italic>not</jats:italic> efficient for models without any other regressor and that √<jats:italic>n</jats:italic>-consistent estimation is infeasible in more general models.</jats:p> http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Econometric Theory CrossRef

THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS

Hahn, Jinyong
Econometric Theory , Volume 17 (5): 913-932 – Sep 25, 2001
Download PDF

THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS


Abstract

<jats:p>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 √<jats:italic>n</jats:italic>-consistent estimator. In the case
where the model includes strictly exogenous continuous regressors,
Honoré and Kyriazidou (2000, <jats:italic>Econometrica</jats:italic> 68,
839–874) suggest a consistent estimator whose rate of
convergence is slower than √<jats:italic>n</jats:italic>. Information bounds
calculated in this paper suggest that the conditional maximum
likelihood estimator is <jats:italic>not</jats:italic> efficient for models without
any other regressor and that √<jats:italic>n</jats:italic>-consistent estimation
is infeasible in more general models.</jats:p>

Loading next page...
 
/lp/crossref/the-information-bound-of-a-dynamic-panel-logit-model-with-fixed-q0zv6FJ60W

References

References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.

Publisher
CrossRef
ISSN
0266-4666
DOI
10.1017/s0266466601175031
Publisher site
See Article on Publisher Site

Abstract

<jats:p>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 √<jats:italic>n</jats:italic>-consistent estimator. In the case where the model includes strictly exogenous continuous regressors, Honoré and Kyriazidou (2000, <jats:italic>Econometrica</jats:italic> 68, 839–874) suggest a consistent estimator whose rate of convergence is slower than √<jats:italic>n</jats:italic>. Information bounds calculated in this paper suggest that the conditional maximum likelihood estimator is <jats:italic>not</jats:italic> efficient for models without any other regressor and that √<jats:italic>n</jats:italic>-consistent estimation is infeasible in more general models.</jats:p>

Journal

Econometric Theory – CrossRef

Published: Sep 25, 2001

There are no references for this article.